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ArticleA goodness of fit test for copulas based on Rosenblatt's transformation

Jadran Dobrić2006

Article2006

A goodness of fit test for copulas based on Rosenblatt's transformation

Jadran Dobrić · Friedrich Schmid

131 citations·0/0 files stored·Computational Statistics & Data Analysis

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

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References

2004Copula Methods in Finance 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 2007The t Copula and Related Copulas 2006An Introduction to Copulas (Springer Series in Statistics)2006Goodness‐of‐fit Procedures for Copula Models Based on the Probability Integral Transformation 2002Dependence Structures for Multivariate High-Frequency Data in Finance 2004Goodness-of-fit tests for copulas 2003Dependence structures for multivariate high-frequency data in finance

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2010Efficient estimation of a semiparametric dynamic copula model 2013A Goodness-of-fit Test for Copulas 2010Goodness-of-Fit Tests for Copulas of Multivariate Time Series 2017Goodness-of-Fit Tests for Copulas of Multivariate Time Series 2009Top-down approaches for integrated risk management: How accurate are they?2017Modeling Systemic Risk: Time-Varying Tail Dependence When Forecasting Marginal Expected Shortfall

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Details

Year2006

Typearticle

Published2006-09-01

VenueComputational Statistics & Data Analysis

ISSN-L0167-9473

Languageen

Citations131

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.csda.2006.08.012

openalex_workW1998424034

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2007Copula model evaluation based on parametric bootstrap

2013Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)