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An Overview of the Goodness-of-Fit Test Problem for Copulas · Study

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ChapterAn Overview of the Goodness-of-Fit Test Problem for Copulas

Jean‐David Fermanian2013

Chapter2013

An Overview of the Goodness-of-Fit Test Problem for Copulas

Jean‐David Fermanian

36 citations·0/0 files stored·Lecture notes in statistics

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

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References

1999An Introduction to Copulas 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2007Pair-copula constructions of multiple dependence 2007Goodness-of-fit tests for copulas: A review and a power study 1993Statistical Inference Procedures for Bivariate Archimedean Copulas 2004Statistics of Extremes 2004Statistics of Extremes: Theory and Applications 2012Selecting and estimating regular vine copulae and application to financial returns

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2015Nonparametric tests for constant tail dependence with an application to energy and finance

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2021Copulae: An overview and recent developmentsarticle · 17 shared references 2012Copula-GARCH versus dynamic conditional correlation: an empirical study on VaR and ES forecasting accuracyarticle · 15 shared references 2016Goodness-of-fit test for specification of semiparametric copula dependence modelsarticle · 15 shared references 2012Crisis and risk dependenciesarticle · 15 shared references 2010Are Copula-GoF-tests of any practical use? Empirical evidence for stocks, commodities and FX futuresarticle · 14 shared references 2013A Goodness-of-fit Test for Copulasarticle · 13 shared references

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Year2013

Typechapter

Published2013-01-01

VenueLecture notes in statistics

ISSN-L0930-0325

Languageen

Citations36

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/978-3-642-35407-6_4

openalex_workW1591997783

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