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Empirical and sequential empirical copula processes under serial dependence · Study

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ArticleEmpirical and sequential empirical copula processes under serial dependence

Axel Bücher2013

OA

Articlebronze2013

Empirical and sequential empirical copula processes under serial dependence

Axel Bücher · Stanislav Volgushev A

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

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Financial Risk and Volatility Modeling Probability and Statistical Research Statistical Methods and Inference

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References

1999An Introduction to Copulas 2006An Introduction to Copulas (Springer Series in Statistics)2004Weak convergence of empirical copula processes 2005Semiparametric estimation in copula models 2004Test of independence and randomness based on the empirical copula process 2012Asymptotics of empirical copula processes under non-restrictive smoothness assumptions 2008Testing for equality between two copulas 2006Multivariate extensions of Spearman's rho and related statistics

Cited by

2016The empirical beta copula 2017Asymptotic behavior of the empirical multilinear copula process under broad conditions 2014Detecting changes in cross-sectional dependence in multivariate time series 2015A dependent multiplier bootstrap for the sequential empirical copula process under strong mixing 2014Financial Engineering with Copulas Explained 2012Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique

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Year2013

Typearticle

Published2013-04-17

VenueJournal of Multivariate Analysis

ISSN-L0047-259X

Languageen

Citations80

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jmva.2013.04.003

openalex_workW2013558307

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