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An empirical central limit theorem with applications to copulas under weak dependence

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  • Paul Doukhan

    ()

  • Jean-David Fermanian

    ()

  • Gabriel Lang

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s11203-008-9026-3
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    Bibliographic Info

    Article provided by Springer in its journal Statistical Inference for Stochastic Processes.

    Volume (Year): 12 (2009)
    Issue (Month): 1 (February)
    Pages: 65-87

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    Handle: RePEc:spr:sistpr:v:12:y:2009:i:1:p:65-87

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    Related research

    Keywords: Copulas; Multivariate FCLT; Weak dependence; 62M10; 62G07; 60F17;

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    References

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    1. C. Gourieroux & J.P. Laurent & O. Scaillet, 2000. "Sensitivity analysis of values at risk," THEMA Working Papers 2000-04, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    2. Fermanian, Jean-David, 2005. "Goodness-of-fit tests for copulas," Journal of Multivariate Analysis, Elsevier, vol. 95(1), pages 119-152, July.
    3. Paul Doukhan & Gilles Teyssière & Pablo Winant, 2005. "A Larch Vector Valued Process," Working Papers 2005-49, Centre de Recherche en Economie et Statistique.
    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. Goorbergh, R.W.J. van den & Genest, C. & Werker, B.J.M., 2003. "Multivariate Option Pricing Using Dynamic Copula Models," Discussion Paper 2003-122, Tilburg University, Center for Economic Research.
    6. Christian Gourieroux & Jean-Paul Laurent & Olivier Scaillet, 2000. "Sensitivity Analysis of Values at Risk," Working Papers 2000-05, Centre de Recherche en Economie et Statistique.
    7. Jean-David FERMANIAN & Olivier SCAILLET, 2003. "Nonparametric Estimation of Copulas for Time Series," FAME Research Paper Series rp57, International Center for Financial Asset Management and Engineering.
    8. Dedecker, Jérôme & Doukhan, Paul, 2003. "A new covariance inequality and applications," Stochastic Processes and their Applications, Elsevier, vol. 106(1), pages 63-80, July.
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    Cited by:
    1. Bücher, Axel & Volgushev, Stanislav, 2013. "Empirical and sequential empirical copula processes under serial dependence," Journal of Multivariate Analysis, Elsevier, vol. 119(C), pages 61-70.
    2. Berghaus, Betina & Bücher, Axel, 2014. "Nonparametric tests for tail monotonicity," Journal of Econometrics, Elsevier, vol. 180(2), pages 117-126.
    3. Bücher, Axel & Ruppert, Martin, 2013. "Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 208-229.
    4. Gaißer, Sandra & Ruppert, Martin & Schmid, Friedrich, 2010. "A multivariate version of Hoeffding's Phi-Square," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2571-2586, November.

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