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Applied Economics Volume 42, 2010 - Issue 25
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Original Articles

A copula-VAR-X approach for industrial production modelling and forecasting

Carluccio Bianchi Dipartimento di Economia Politica e Metodi Quantitativi, Università di Pavia, Via S. Felice, 5, I27100 Pavia, ItalyCorrespondence[email protected]
,
Alessandro Carta Department of Statistics, University of Warwick, Coventry, CV4 7AL, UK
,
Dean Fantazzini Moscow School of Economics, 1, Building 61, Leninskie Gory, 119992, M. V. Lomonosov MSU, Moscow, Russia
,
Maria Elena De Giuli Dipartimento di Ricerche Aziendali, Università di Pavia, Via S. Felice, 5, I27100 Pavia, Italy
&
Mario A. Maggi Dipartimento di Ricerche Aziendali, Università di Pavia, Via S. Felice, 5, I27100 Pavia, Italy
Pages 3267-3277 | Published online: 20 Apr 2009

Citations (6)

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Read on this site (1)

Carluccio Bianchi, Maria Elena De Giuli, Dean Fantazzini & Mario Maggi. (2011) Small sample properties of copula-GARCH modelling: a Monte Carlo study. Applied Financial Economics 21:21, pages 1587-1597.
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Articles from other publishers (5)

Rimsha Ejaz, Sumaira Ashraf, Arshad Hassan & Ankit Gupta. (2022) An empirical investigation of market risk, dependence structure, and portfolio management between green bonds and international financial markets. Journal of Cleaner Production 365, pages 132666.
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Giovanni De Luca, Dominique Guégan & Giorgia Rivieccio. (2019) Assessing tail risk for nonlinear dependence of MSCI sector indices: A copula three-stage approach. Finance Research Letters 30, pages 327-333.
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Fabian Capitanio, Felice Adinolfi, Barry K. Goodwin & Giorgia Rivieccio. (2019) A COPULA-BASED APPROACH TO INVESTIGATE VERTICAL SHOCK PRICE TRANSMISSION IN THE ITALIAN HOG MARKET. New Medit 18:1, pages 3-14.
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Giorgia Rivieccio & Giovanni De Luca. (2016) Copula function approaches for the analysis of serial and cross dependence in stock returns. Finance Research Letters 17, pages 55-61.
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Jorge V. Pérez-Rodríguez, Francisco Ledesma-Rodríguez & María Santana-Gallego. (2015) Testing dependence between GDP and tourism's growth rates. Tourism Management 48, pages 268-282.
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