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An Overview of the Goodness-of-Fit Test Problem for Copulas
16 references·1 citing·31 second hop
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this work references cited by second hop

References

  • 1999An Introduction to Copulas7,743 cited
  • 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2,119 cited
  • 2007Pair-copula constructions of multiple dependence2,055 cited
  • 2007Goodness-of-fit tests for copulas: A review and a power study1,321 cited
  • 1993Statistical Inference Procedures for Bivariate Archimedean Copulas1,252 cited
  • 2004Statistics of Extremes1,204 cited
  • 2004Statistics of Extremes: Theory and Applications1,093 cited
  • 2012Selecting and estimating regular vine copulae and application to financial returns743 cited
  • 2005Estimation of copula-based semiparametric time series models435 cited
  • 2006Estimation of multivariate models for time series of possibly different lengths421 cited
  • 2006Goodness‐of‐fit Procedures for Copula Models Based on the Probability Integral Transformation407 cited
  • 2005Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification402 cited
  • 2004Weak convergence of empirical copula processes396 cited
  • 2009Copula–Based Models for Financial Time Series381 cited
  • 2002Dependence Structures for Multivariate High-Frequency Data in Finance381 cited

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  • 2004Goodness-of-fit tests for copulas336 cited
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    • 2015Nonparametric tests for constant tail dependence with an application to energy and finance33 cited