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ArticleTesting for equality between two copulas

Bruno Rémillard2008

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Articlebronze2008

Testing for equality between two copulas

Bruno Rémillard · Olivier Scaillet B

190 citations·0/0 files stored·Journal of Multivariate Analysis

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Financial Risk and Volatility Modeling Statistical Distribution Estimation and Applications Statistical Methods and Inference

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References

2000Mutual Fund Performance: An Empirical Decomposition into Stock‐Picking Talent, Style, Transactions Costs, and Expenses 1998The shifting basis of life satisfaction judgments across cultures: Emotions versus norms.1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions 2004Asymptotic efficiency of the two-stage estimation method for copula-based models 2006Goodness‐of‐fit Procedures for Copula Models Based on the Probability Integral Transformation 2004Weak convergence of empirical copula processes 2004Goodness-of-fit tests for copulas 2005Semiparametric estimation in copula models

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2009A goodness-of-fit test for multivariate multiparameter copulas based on multiplier central limit theorems 2011Tests of symmetry for bivariate copulas 2011Fast large-sample goodness-of-fit tests for copulas 2013Empirical and sequential empirical copula processes under serial dependence 2012Copula-based semiparametric models for multivariate time series

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Year2008

Typearticle

Published2008-05-16

VenueJournal of Multivariate Analysis

ISSN-L0047-259X

Languageen

Citations190

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jmva.2008.05.004

openalex_workW1501966111

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2010A note on bootstrap approximations for the empirical copula process

2017Asymptotic behavior of the empirical multilinear copula process under broad conditions

2014Detecting changes in cross-sectional dependence in multivariate time series