A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series.
Nicole BarthelClaudia CzadoYarema OkhrinPublished in: Comput. Stat. Data Anal. (2020)
Keyphrases
- financial time series
- garch model
- multivariate time series
- stock market
- stock price
- exchange rate
- weather forecasting
- short term
- non stationary
- multivariate data
- turning points
- grey model
- financial data
- long term
- correlation coefficient
- regression model
- multivariate time series data
- early warning
- sequential data
- forecasting accuracy
- multi variate
- granger causality
- arma model
- box jenkins