Citations of
Bruno Remillard

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Working papers

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1. Genest, Christian & Quessy, Jean-François & Rémillard, Bruno, 2006. "On the joint asymptotic behavior of two rank-based estimators of the association parameter in the gamma frailty model," Statistics & Probability Letters, Elsevier, vol. 76(1), pages 10-18, January. [Downloadable!] (restricted)

   Cited by:

   1. Antai Wang, 2007. "The Analysis of Bivariate Truncated Data Using the Clayton Copula Model," The International Journal of Biostatistics, Berkeley Electronic Press, vol. 3(1). [Downloadable!]

2. Christian Genest & Jean-François Quessy & Bruno Rémillard, 2006. "Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics, Finnish Statistical Society, Norwegian Statistical Association and Swedish Statistical Association, vol. 33(2), pages 337-366. [Downloadable!] (restricted)

   Cited by:

   1. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Out-of-sample comparison of copula specifications in multivariate density forecasts," Discussion Papers 2008-23, School of Economics, The University of New South Wales. [Downloadable!]
      Other versions:
      • Cees Diks & Valentyn Panchenko & Dick van Dijk, . "Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts," Tinbergen Institute Discussion Papers 08-105/4, Tinbergen Institute. [Downloadable!]
      • Diks, C.G.H. & Dijk, D. van & Panchenko, V., 2008. "Out-of-sample comparison of copula specifications in multivariate density forecasts," CeNDEF Working Papers 08-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
   2. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2007. "Modelling stochastic mortality for dependent lives," Carlo Alberto Notebooks 43, Collegio Carlo Alberto. [Downloadable!]
      Other versions:
      • Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2007. "Modelling Stochastic Mortality for Dependent Lives," CeRP Working Papers 58, Center for Research on Pensions and Welfare Policies, Turin (Italy). [Downloadable!]
      • Luciano, Elisa & Spreeuw, Jaap & Vigna, Elena, 2008. "Modelling stochastic mortality for dependent lives," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 234-244, October. [Downloadable!] (restricted)
   3. Hafner, Christian M. & Manner, Hans, 2008. "Dynamic stochastic copula models: Estimation, inference and applications," Research Memoranda 043, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
   4. Oriol Roch Casellas & Antonio Alegre Escolano, 2005. "Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market," Working Papers in Economics 143, Universitat de Barcelona. Espai de Recerca en Economia. [Downloadable!]
   5. Antai Wang, 2007. "The Analysis of Bivariate Truncated Data Using the Clayton Copula Model," The International Journal of Biostatistics, Berkeley Electronic Press, vol. 3(1). [Downloadable!]
   6. Charpentier, Arthur & Segers, Johan, 2006. "Convergence of Archimedean copulas," Discussion Paper 28, Tilburg University, Center for Economic Research. [Downloadable!]

3. Christian Genest & Bruno Rémillard, 2004. "Test of independence and randomness based on the empirical copula process," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 13(2), pages 335-369, December. [Downloadable!] (restricted)

   Cited by:

   1. Sancetta, A. & Nikanrova, A., 2005. "Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices," Cambridge Working Papers in Economics 0516, Faculty of Economics, University of Cambridge. [Downloadable!]

4. Ghoudi, Kilani & Kulperger, Reg J. & Rémillard, Bruno, 2001. "A Nonparametric Test of Serial Independence for Time Series and Residuals," Journal of Multivariate Analysis, Elsevier, vol. 79(2), pages 191-218, November. [Downloadable!] (restricted)

   Cited by:

   1. Jean-François Quessy, 2009. "Theoretical efficiency comparisons of independence tests based on multivariate versions of Spearman’s rho," Metrika, Springer, vol. 70(3), pages 315-338, November. [Downloadable!] (restricted)

5. Barbe, Philippe & Genest, Christian & Ghoudi, Kilani & Rémillard, Bruno, 1996. "On Kendall's Process," Journal of Multivariate Analysis, Elsevier, vol. 58(2), pages 197-229, August. [Downloadable!] (restricted)

   Cited by:

   1. Rihab Bedoui & Makram Ben Dbadis, 2009. "Copulas and bivariate risk measures : an application to hedge funds," EconomiX Working Papers 2009-19, University of Paris West - Nanterre la Défense, EconomiX. [Downloadable!]
   2. Antai Wang, 2007. "The Analysis of Bivariate Truncated Data Using the Clayton Copula Model," The International Journal of Biostatistics, Berkeley Electronic Press, vol. 3(1). [Downloadable!]
   3. Christian Genest & Bruno Rémillard, 2004. "Test of independence and randomness based on the empirical copula process," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 13(2), pages 335-369, December. [Downloadable!] (restricted)
   4. Charpentier, Arthur & Segers, Johan, 2006. "Convergence of Archimedean copulas," Discussion Paper 28, Tilburg University, Center for Economic Research. [Downloadable!]

This page was last updated on 2009-12-7.