Modelling Volatile Time Series with V-Transforms and Copulas
An approach to the modelling of volatile time series using a class of uniformity-preserving transforms for uniform random variables is proposed. V-transforms describe the relationship between quantiles of the stationary distribution of the time series and quantiles of the distribution of a predictab...
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| Format: | Article |
| Language: | English |
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MDPI AG
2021-01-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/9/1/14 |