Λεπτομέρειες βιβλιογραφικής εγγραφής
| Τίτλος: |
Nonparametric Autoregressive Copula Forecasting via Boundary-Reflected Kernel Estimation. |
| Συγγραφείς: |
Colombo Soares, Guilherme1 (AUTHOR), Poletti Laurini, Márcio1 (AUTHOR) laurini@fearp.usp.br |
| Πηγή: |
Econometrics (2225-1146). Jun2026, Vol. 14 Issue 2, p17. 26p. |
| Θεματικοί όροι: |
*Forecasting, *Statistical correlation, Probability density function |
| Περίληψη: |
We propose a fully nonparametric empirical autoregressive copula framework for univariate time series, designed to capture nonlinear and asymmetric serial dependence while exactly preserving the empirical marginal distribution. The method decouples marginal behavior from temporal dependence by (i) constructing a shape-preserving empirical marginal via monotone interpolation and mapping observations to the unit interval, and (ii) estimating the lag–lead dependence through a nonparametric conditional AR(1) copula density on (0 , 1) 2 . To ensure stable estimation near the boundaries, we employ reflection-based kernel methods that mitigate edge effects and yield well-behaved conditional densities on the unit support. Forecasts are obtained from the implied conditional predictive density: we compute point forecasts either as conditional modes (maximum a posteriori) on the copula scale or as conditional means, and then back-transform exactly using the empirical quantile function, guaranteeing marginal fidelity and support-respecting predictions. Empirically, we evaluate the approach on three CBOE volatility indices (VIX, VXD, and RVX) and benchmark it against linear ARMA models, copula-based parametric competitors, and state-space/heteroskedasticity baselines (Local level, TVP–AR, and ARMA–GARCH). The results highlight that modeling the full conditional transition density nonparametrically can deliver competitive—often best or near-best—forecast accuracy across horizons, particularly in the presence of pronounced volatility regimes and asymmetric adjustments. [ABSTRACT FROM AUTHOR] |
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| Βάση Δεδομένων: |
Business Source Index |