TIME SERIES ANALYSIS USING COPULA GAUSS AND AR(1)-N.GARCH(1,1)
In this case, the Gaussian Copula is used to connect the data that correlates with the time and with other data sets. Most often, practitioners rely only on the linear correlation to describe the degree of dependence between two or more variables; an approach that can lead to quite misleading conclu...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universitas Diponegoro
2016-06-01
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| Series: | Media Statistika |
| Online Access: | https://ejournal.undip.ac.id/index.php/media_statistika/article/view/11676 |