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Publications by Shaun P. Vahey

Asymmetric Forecast Densities for U.S. Macroeconomic Variables From a Gaussian Copula Model of Cross-Sectional and Serial Dependence

Journal of Business and Economic Statistics

Social Sciences

English

‘Keep It Real!’: A Real-Time UK Macro Data Set

Economics Letters

English

Related publications

The Gaussian Graphical Model in Cross-Sectional and Time-Series Data

Multivariate Behavioral Research

Cognitive Psychology

English

Constructing Discrete Unbounded Distributions With Gaussian-Copula Dependence and Given Rank Correlation

INFORMS Journal on Computing

Management Science

Computer Science Applications

Information Systems

Operations Research

English

Exponent of Cross-Sectional Dependence for Residuals

Applied Mathematics

English

Bernstein Estimator for Unbounded Copula Densities

Statistics and Risk Modeling

English

Perturbed Gaussian Copula

Advances in Econometrics

English

Informationally Dynamized Gaussian Copula

International Journal of Theoretical and Applied Finance

English

Asymmetric Reaction to Information and Serial Dependence of Short-Run Returns

Journal of Applied Economics

English

A DSGE-VAR Model for Forecasting Key South African Macroeconomic Variables

Economic Modelling

English

Macroeconomic News Announcements and Price Discovery: Evidence From Canadian–U.S. Cross-Listed Firms

Journal of Empirical Finance

English