Goodness-of-fit tests for copulas: A review and a power study
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Y. Malevergne & D. Sornette, 2003. "Testing the Gaussian copula hypothesis for financial assets dependences," Quantitative Finance, Taylor & Francis Journals, pages 231-250.
- 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.
- repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
- Frahm, Gabriel & Junker, Markus & Szimayer, Alexander, 2003. "Elliptical copulas: applicability and limitations," Statistics & Probability Letters, Elsevier, pages 275-286.
- Chen, Xiaohong & Fan, Yanqin & Tsyrennikov, Viktor, 2006.
"Efficient Estimation of Semiparametric Multivariate Copula Models,"
Journal of the American Statistical Association,
American Statistical Association, vol. 101, pages 1228-1240, September.
- Xiaohong Chen & Yanqin Fan & Victor Tsyrennifov, 2004. "Efficient Estimation of Semiparametric Multivariate Copula Models," Vanderbilt University Department of Economics Working Papers 0420, Vanderbilt University Department of Economics.
- Y. Malevergne & D. Sornette, 2003.
"Testing the Gaussian copula hypothesis for financial assets dependences,"
Taylor & Francis Journals, pages 231-250.
- Y. Malevergne & D. Sornette, 2001. "Testing the Gaussian Copula Hypothesis for Financial Assets Dependences," Finance 0111003, EconWPA.
- Yannick Malevergne & Didier Sornette, 2003. "Testing the Gaussian copula hypothesis for financial assets dependences," Post-Print hal-00520539, HAL.
- Y. Malevergne & D. Sornette, 2001. "Testing the Gaussian Copula Hypothesis for Financial Assets Dependences," Papers cond-mat/0111310, arXiv.org.
- Joe, Harry, 2005. "Asymptotic efficiency of the two-stage estimation method for copula-based models," Journal of Multivariate Analysis, Elsevier, vol. 94(2), pages 401-419, June.
- W. Breymann & A. Dias & P. Embrechts, 2003. "Dependence structures for multivariate high-frequency data in finance," Quantitative Finance, Taylor & Francis Journals, pages 1-14.
- Panchenko, Valentyn, 2005. "Goodness-of-fit test for copulas," Physica A: Statistical Mechanics and its Applications, Elsevier, pages 176-182.
- Tomasz Burzykowski & Geert Molenberghs & Marc Buyse, 2004. "The validation of surrogate end points by using data from randomized clinical trials: a case-study in advanced colorectal cancer," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 167(1), pages 103-124.
- Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
- Fang, Hong-Bin & Fang, Kai-Tai & Kotz, Samuel, 2002. "The Meta-elliptical Distributions with Given Marginals," Journal of Multivariate Analysis, Elsevier, vol. 82(1), pages 1-16, July.
- Klugman, Stuart A. & Parsa, Rahul, 1999. "Fitting bivariate loss distributions with copulas," Insurance: Mathematics and Economics, Elsevier, pages 139-148.
- Fermanian, Jean-David, 2005. "Goodness-of-fit tests for copulas," Journal of Multivariate Analysis, Elsevier, vol. 95(1), pages 119-152, July.
- Scaillet, Olivier, 2007.
"Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters,"
Journal of Multivariate Analysis,
Elsevier, vol. 98(3), pages 533-543, March.
- Olivier Scaillet, 2005. "Kernel Based Goodness-of-Fit Tests for Copulas with Fixed Smoothing Parameters," FAME Research Paper Series rp145, International Center for Financial Asset Management and Engineering.
- Kim, Gunky & Silvapulle, Mervyn J. & Silvapulle, Paramsothy, 2007. "Comparison of semiparametric and parametric methods for estimating copulas," Computational Statistics & Data Analysis, Elsevier, pages 2836-2850.
- Markus Junker & Angelika May, 2005. "Measurement of aggregate risk with copulas," Econometrics Journal, Royal Economic Society, vol. 8(3), pages 428-454, December.
More about this item
KeywordsAnderson-Darling statistic Copula Cramér-von Mises statistic Gaussian process Goodness-of-fit Kendall's tau Kolmogorov-Smirnov statistic Monte Carlo simulation Parametric bootstrap Power study Pseudo-observations P-values;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:44:y:2009:i:2:p:199-213. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.