Bayesian Copula Modelling of Multivariate Dependence: Getting to Grips With Data That Is Far From Normal.

Econometric modeling of regional electricity spot prices in the Australian market

MS Smith, TS Shively

2018-08-01

Wholesale electricity markets are increasingly integrated via high voltage interconnectors, and inter-regional trade in electricit..

Inversion copulas from nonlinear state space models with an application to inflation forecasting

MS Smith, W Maneesoonthorn

2018-07-01

We propose the construction of copulas through the inversion of nonlinear state space models. These copulas allow for new time ser..

Time series copulas for heteroskedastic data

R Loaiza-Maya, MS Smith, W Maneesoonthorn

2018-04-01

We propose parametric copulas that capture serial dependence in stationary heteroskedastic time series. We suggest copulas for fir..

Asymmetric Forecast Densities for U.S. Macroeconomic Variables from a Gaussian Copula Model of Cross-Sectional and Serial Dependence

MS Smith, SP Vahey

2016-07-02

Most existing reduced-form macroeconomic multivariate time series models employ elliptical disturbances, so that the forecast dens..

Copula modelling of dependence in multivariate time series

MS Smith

2015-07-01

Almost all existing nonlinear multivariate time series models remain linear, conditional on a point in time or latent regime. Here..

From amazon to apple: Modeling online retail sales, purchase incidence, and visit behavior

A Panagiotelis, MS Smith, PJ Danaher

2014-01-01

In this study, we propose a multivariate stochastic model forWeb site visit duration, page views, purchase incidence, and the sale..

Estimation of copula models with discrete margins via Bayesian data augmentation

MS Smith, MA Khaled

2012-07-02

Estimation of copula models with discrete margins can be difficult beyond the bivariate case. We show how this can be achieved by ..