Goodness of Fit Tests for Copulas
AbstractThis paper defines two distribution free goodness-of-fit test statistics for copulas and statestheir asymptotic distributions under some composite parametric assumptions. The results arestated formally in an independent identically distributed framework, and partially in timedependentframeworks. We provide a simulation study and an empirical example by studyingthe dependency between several couples of equity indices.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Centre de Recherche en Economie et Statistique in its series Working Papers with number 2003-34.
Date of creation: 2003
Date of revision:
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 125-154.
- Xiaohong Chen & Yanqin Fan, 2004. "Estimation and Model Selection of Semiparametric Copula-Based Multivariate Dynamic Models under Copula Misspecification," Vanderbilt University Department of Economics Working Papers 0419, Vanderbilt University Department of Economics, revised Sep 2004.
- Xiaohong Chen & Yanqin Fan & Andrew J. Patton, 2004.
"Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates,"
LSE Research Online Documents on Economics
24681, London School of Economics and Political Science, LSE Library.
- Andrew Patton & Yanqin Fan & Xiaohong Chen, 2004. "Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates," Working Papers wp04-19, Warwick Business School, Finance Group.
- Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation of copula-based semiparametric time series models," Journal of Econometrics, Elsevier, vol. 130(2), pages 307-335, February.
- Casey Quinn, 2005. "Generalisable regression methods for costeffectiveness using copulas," Health, Econometrics and Data Group (HEDG) Working Papers 05/13, HEDG, c/o Department of Economics, University of York.
- Xiaohong Chen & Yanqin Fan, 2002. "Estimation of Copula-Based Semiparametric Time Series Models," Vanderbilt University Department of Economics Working Papers 0226, Vanderbilt University Department of Economics, revised Oct 2004.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Florian Sallaberry).
If references are entirely missing, you can add them using this form.