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ArticleCopula model evaluation based on parametric bootstrap

Aristidis K. Nikoloulopoulos2007

Article2007

Copula model evaluation based on parametric bootstrap

Aristidis K. Nikoloulopoulos · Dimitris Karlis

48 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

1999An Introduction to Copulas 1993Statistical Inference Procedures for Bivariate Archimedean Copulas 1986Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données 2006Goodness‐of‐fit Procedures for Copula Models Based on the Probability Integral Transformation 2006Dependence patterns across financial markets: a mixed copula approach 2002Dependence Structures for Multivariate High-Frequency Data in Finance 1998Multivariate Models and Dependence Concepts 2004Goodness-of-fit tests for copulas

Cited by

2013Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)2014Recognizing and visualizing copulas: An approach using local Gaussian approximation 2013Clustering Dependencies Via Mixtures of Copulas 2010A goodness-of-fit test for Archimedean copula models in the presence of right censoring 2016Comment on ‘A vine copula mixed effect model for trivariate meta-analysis of diagnostic test accuracy studies accounting for disease prevalence’

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Year2007

Typearticle

Published2007-11-20

VenueComputational Statistics & Data Analysis

ISSN-L0167-9473

Languageen

Citations48

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.csda.2007.10.028

openalex_workW2066528809

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2016Hybrid copula mixed models for combining case-control and cohort studies in meta-analysis of diagnostic tests