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Goodness-of-fit tests for copulas: A review and a power study · Study

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ArticleGoodness-of-fit tests for copulas: A review and a power study

Christian Genest2007

Article2007

Goodness-of-fit tests for copulas: A review and a power study

Christian Genest · Bruno Rémillard · David Beaudoin

1,321 citations·0/0 files stored·Insurance Mathematics and Economics

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Financial Risk and Volatility Modeling Statistical Distribution Estimation and Applications Probability and Risk Models

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 1,321 citations exist upstream.

References

1999An Introduction to Copulas 2004Copula Methods in Finance 2007Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask 1998Understanding Relationships Using Copulas 1993Statistical Inference Procedures for Bivariate Archimedean Copulas 1995A Semiparametric Estimation Procedure of Dependence Parameters in Multivariate Families of Distributions

Cited by

2012A review of copula models for economic time series 2010Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?2013Is gold a safe haven or a hedge for the US dollar? Implications for risk management 2010Modeling Multivariate Distributions with Continuous Margins Using the copula R Package 2009Copula–Based Models for Financial Time Series 2013Copula Methods for Forecasting Multivariate Time Series 2010Multivariate multiparameter extreme value models and return periods: A copula approach 2012Conditional dependence structure between oil prices and exchange rates: A copula-GARCH approach

Details

Year2007

Typearticle

Published2007-11-27

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations1,321

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.insmatheco.2007.10.005

openalex_workW2015339214

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