Journal article

Copula modelling of dependence in multivariate time series

Michael Stanley Smith

International Journal of Forecasting | ELSEVIER SCIENCE BV | Published : 2015

University of Melbourne Researchers

Grants

Awarded by Australian Research Council


Funding Acknowledgements

Michael Smith's work was supported by Australian Research Council Grant FT110100729. The author thanks Professor Shaun Vahey of Warwick University for helpful discussions on time series modeling in macroeconomics, Doctor Mohamad Khaled of the University of Queensland for helpful discussions on copulas, and two referees for helpful comments that improved the paper.