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Goodness-of-fit tests for copulas

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  • Fermanian, Jean-David

Abstract

This paper defines two distribution free goodness-of-fit test statistics for copulas. It states their asymptotic distributions under some composite parametric assumptions in an independent identically distributed framework. A short simulation study is provided to assess their power performances.

Suggested Citation

  • Fermanian, Jean-David, 2005. "Goodness-of-fit tests for copulas," Journal of Multivariate Analysis, Elsevier, vol. 95(1), pages 119-152, July.
  • Handle: RePEc:eee:jmvana:v:95:y:2005:i:1:p:119-152
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    References listed on IDEAS

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    12. Patton, Andrew J, 2001. "Estimation of Copula Models for Time Series of Possibly Different Length," University of California at San Diego, Economics Working Paper Series qt3fc1c8hw, Department of Economics, UC San Diego.
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