Fitting high-dimensional Copulae to Data
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More about this item
Keywords
copula; multivariate distribution; Archimedean copula; GoF;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2010-04-24 (Econometrics)
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