Bouchra Nasri
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Cahiers du GERAD
We consider several time series and for each of them, we fit an appropriate dynamic parametric model. This produces serially independent error terms for each...
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In this paper, we propose an intuitive way to couple several dynamic time series models even when there are no innovations. This extends previous work for m...
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In this paper, we consider non-stationary response variables and covariates, where the marginal distributions and the associated copula may be time-dependent...
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In this paper, we first present a review of statistical tools that can be used in asset management either to track financial indexes or to create synthetic o...
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Recently, two different copula-based approaches have been proposed to estimate the conditional quantile function of a variable \(Y\)
with respect to a vect...