A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting

Applied Economics, Forthcoming

18 Pages Posted: 8 Apr 2008 Last revised: 23 Dec 2011

See all articles by Dean Fantazzini

Dean Fantazzini

Moscow School of Economics, Moscow State University; National Research University Higher School of Economics

Maria Elena De Giuli

University of Pavia - Department of Political Economy and Quantitative Methods

Mario Maggi

University of Pavia - Department of Economics and Management; University of Pavia - Department of Economics and Management

Carluccio Bianchi

University of Pavia - Department of Economics and Management

Alessandro Carta

affiliation not provided to SSRN

Date Written: April 1, 2008

Abstract

World economies, and especially European ones, have become strongly interconnected in the last decades and a joint modelling is required. We propose here the use of Copulas to build flexible multivariate distributions, since they allow for a rich dependence structure and more flexible marginal distributions that better fit the features of empirical data, such as leptokurtosis. We use our approach to forecast industrial production series in the core EMU countries and we provide evidence that the copula-VAR model outperforms or at worst compares similarly to normal VAR models, keeping the same computational tractability of the latter approach.

Keywords: Forecasting, Industrial Production, Copula, VAR models, Vector Auto Regression

JEL Classification: C13, C32, C51, C53

Suggested Citation

Fantazzini, Dean and De Giuli, Maria Elena and Maggi, Mario and Bianchi, Carluccio and Carta, Alessandro, A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting (April 1, 2008). Applied Economics, Forthcoming. Available at SSRN: https://ssrn.com/abstract=1117863

Dean Fantazzini (Contact Author)

Moscow School of Economics, Moscow State University ( email )

GSP-2, Leninskie Gory
Moscow, 119992
Russia
+7 495 5105256 (Phone)
+7 495 5105267 (Fax)

HOME PAGE: https://sites.google.com/site/deanfantazzini/

National Research University Higher School of Economics ( email )

Myasnitskaya street, 20
Moscow, Moscow 119017
Russia

HOME PAGE: http://www.hse.ru/org/persons/11532644

Maria Elena De Giuli

University of Pavia - Department of Political Economy and Quantitative Methods ( email )

27100 Pavia
Italy

Mario Maggi

University of Pavia - Department of Economics and Management ( email )

Via San Felice, 5
Pavia, PV 27100
Italy

HOME PAGE: http://economia.unipv.it/pagp/pagine_personali/maggma/moreinfo.htm

University of Pavia - Department of Economics and Management ( email )

Strada Nuova, 65
Pavia, 27100
Italy

HOME PAGE: http://economia.unipv.it/pagp/pagine_personali/maggma/moreinfo.htm

Carluccio Bianchi

University of Pavia - Department of Economics and Management ( email )

Strada Nuova, 65
Pavia, 27100
Italy
+390382986212 (Phone)
+390382304226 (Fax)

HOME PAGE: http://economia.unipv.it/pagp/pagine_personali/cbianchi/bianchi.htm

Alessandro Carta

affiliation not provided to SSRN ( email )

Register to save articles to
your library

Register

Paper statistics

Downloads
591
Abstract Views
1,487
rank
44,180
PlumX Metrics