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Copula parameter estimation by maximum-likelihood and minimum-distance estimators: a simulation study

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  • Gregor Weiß

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    File URL: http://hdl.handle.net/10.1007/s00180-010-0203-7
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    Bibliographic Info

    Article provided by Springer in its journal Computational Statistics.

    Volume (Year): 26 (2011)
    Issue (Month): 1 (March)
    Pages: 31-54

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    Handle: RePEc:spr:compst:v:26:y:2011:i:1:p:31-54

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    Web page: http://www.springerlink.com/link.asp?id=120306

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    Related research

    Keywords: Copulas; Minimum-distance method; Simulation; L 1 -variant; Maximum likelihood;

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    1. Y. Malevergne & D. Sornette, 2003. "Testing the Gaussian copula hypothesis for financial assets dependences," Quantitative Finance, Taylor and Francis Journals, vol. 3(4), pages 231-250.
    2. Genest, Christian & Rémillard, Bruno & Beaudoin, David, 2009. "Goodness-of-fit tests for copulas: A review and a power study," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 199-213, April.
    3. Thierry Ane & Cecile Kharoubi, 2003. "Dependence Structure and Risk Measure," The Journal of Business, University of Chicago Press, vol. 76(3), pages 411-438, July.
    4. Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation of copula-based semiparametric time series models," Journal of Econometrics, Elsevier, vol. 130(2), pages 307-335, February.
    5. Cornelia Savu & Mark Trede, 2008. "Goodness-of-fit tests for parametric families of Archimedean copulas," Quantitative Finance, Taylor and Francis Journals, vol. 8(2), pages 109-116.
    6. Fermanian, Jean-David, 2005. "Goodness-of-fit tests for copulas," Journal of Multivariate Analysis, Elsevier, vol. 95(1), pages 119-152, July.
    7. W. Breymann & A. Dias & P. Embrechts, 2003. "Dependence structures for multivariate high-frequency data in finance," Quantitative Finance, Taylor and Francis Journals, vol. 3(1), pages 1-14.
    8. Rodriguez, Juan Carlos, 2007. "Measuring financial contagion: A Copula approach," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 401-423, June.
    9. Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2007. "Selecting copulas for risk management," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2405-2423, August.
    10. Kim, Gunky & Silvapulle, Mervyn J. & Silvapulle, Paramsothy, 2007. "Comparison of semiparametric and parametric methods for estimating copulas," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 2836-2850, March.
    11. Schmid, Friedrich & Trede, Mark, 1996. "An L1-variant of the Cramer-von Mises test," Statistics & Probability Letters, Elsevier, vol. 26(1), pages 91-96, January.
    12. Markus Junker & Angelika May, 2005. "Measurement of aggregate risk with copulas," Econometrics Journal, Royal Economic Society, vol. 8(3), pages 428-454, December.
    13. Huard, David & Evin, Guillaume & Favre, Anne-Catherine, 2006. "Bayesian copula selection," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 809-822, November.
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