JOURNAL ARTICLE

Copula-based Bivariate Cointegration Model

Nimitha JohnN. Balakrishna

Year: 2019 Journal:   Calcutta Statistical Association Bulletin Vol: 71 (1)Pages: 21-39   Publisher: SAGE Publishing

Abstract

This article focuses on a bivariate cointegrating model with non-normal errors. In particular, we propose a bivariate error distribution constructed using two non-identical marginals through a copula. The model parameters are estimated using the method of inference functions for margins and maximum likelihood. Applications of the proposed model are illustrated through real life examples. AMS classification codes: 62M10

Keywords:
Copula (linguistics) Bivariate analysis Inference Cointegration Econometrics Mathematics Statistics Maximum likelihood Multivariate normal distribution Multivariate statistics Computer science Artificial intelligence

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Citation History

Topics

Financial Risk and Volatility Modeling
Social Sciences →  Economics, Econometrics and Finance →  Finance
Monetary Policy and Economic Impact
Social Sciences →  Economics, Econometrics and Finance →  General Economics, Econometrics and Finance
Market Dynamics and Volatility
Social Sciences →  Economics, Econometrics and Finance →  Economics and Econometrics

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