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ArticleLocal efficiency of a Cramér–von Mises test of independence

Christian Genest2005

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Articlebronze2005

Local efficiency of a Cramér–von Mises test of independence

Christian Genest · Jean‐François Quessy · Bruno Rémillard

45 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 2004Copula Methods in Finance 2006An Introduction to Copulas (Springer Series in Statistics)2001Correlation and Dependence 2001Correlation and Dependence 2004Test of independence and randomness based on the empirical copula process 2000Theory & Methods: Rank Correlation — an Alternative Measure 2003On blest's measure of rank correlation

Cited by

2010Nonparametric rank-based tests of bivariate extreme-value dependence 2009Local Power Analyses of Goodness‐of‐fit Tests for Copulas 2017Testing independence based on Bernstein empirical copula and copula density 2013Predicting dependent binary outcomes through logistic regressions and meta-elliptical copulas 2020Dynamics and causality in distribution between spot and future precious metals: A copula approach 2021Data‐driven identification in SVARs—When and how can statistical characteristics be used to unravel causal relationships?

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2005Locally most powerful rank tests of independence for copula modelsarticle · 6 shared references 2005Dependence Properties of Meta-Elliptical Distributionschapter · 5 shared references 2010Copula Theory: An Introductionchapter · 4 shared references 2009The Advent of Copulas in Financearticle · 4 shared references 2014Copulas in Econometricsreview · 4 shared references 2003On blest's measure of rank correlationarticle · 4 shared references

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Year2005

Typearticle

Published2005-05-01

VenueJournal of Multivariate Analysis

ISSN-L0047-259X

Languageen

Citations45

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jmva.2005.03.003

openalex_workW2085712469

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