Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- 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.
References listed on IDEAS
- Fan, Yanqin, 1994. "Testing the Goodness of Fit of a Parametric Density Function by Kernel Method," Econometric Theory, Cambridge University Press, vol. 10(02), pages 316-356, June.
- 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;Swedish Statistical Association, vol. 33(2), pages 337-366.
- Fan, Yanqin, 1997. "Goodness-of-Fit Tests for a Multivariate Distribution by the Empirical Characteristic Function," Journal of Multivariate Analysis, Elsevier, vol. 62(1), pages 36-63, July.
- Yanqin Fan & Xiaohong Chen & Andrew Patton, 2004. "(IAM Series No 003) Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates," FMG Discussion Papers dp483, Financial Markets Group.
- repec:bpj:strimo:v:3:y:1985:i:3-4:p:239-262:n:4 is not listed on IDEAS
- Fermanian, Jean-David, 2005. "Goodness-of-fit tests for copulas," Journal of Multivariate Analysis, Elsevier, vol. 95(1), pages 119-152, July.
- Fan, Yanqin, 1998. "Goodness-Of-Fit Tests Based On Kernel Density Estimators With Fixed Smoothing Parameters," Econometric Theory, Cambridge University Press, vol. 14(05), pages 604-621, October.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Bücher, Axel & Dette, Holger, 2010. "Some comments on goodness-of-fit tests for the parametric form of the copula based on L2-distances," Journal of Multivariate Analysis, Elsevier, vol. 101(3), pages 749-763, March.
- Ding, Wei & Song, Peter X.-K., 2016. "EM algorithm in Gaussian copula with missing data," Computational Statistics & Data Analysis, Elsevier, vol. 101(C), pages 1-11.
- Jean-David Fermanian, 2012. "An overview of the goodness-of-fit test problem for copulas," Papers 1211.4416, arXiv.org.
- Braekers, Roel & Van Keilegom, Ingrid, 2009. "Flexible modeling based on copulas in nonparametric median regression," Journal of Multivariate Analysis, Elsevier, vol. 100(6), pages 1270-1281, July.
- Kelly, Robert & McCarthy, Yvonne & McQuinn, Kieran, 2012.
"Impairment and negative equity in the Irish mortgage market,"
Journal of Housing Economics,
Elsevier, vol. 21(3), pages 256-268.
- Kelly, Robert & McCarthy, Yvonne & McQuinn, Kieran, 2011. "Impairment and Negative Equity in the Irish Mortgage Market," Research Technical Papers 9/RT/11, Central Bank of Ireland.
- Wenceslao González-Manteiga & Rosa Crujeiras, 2013. "Rejoinder on: An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 442-447, September.
- Shi, Peng, 2012. "Multivariate longitudinal modeling of insurance company expenses," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 204-215.
- Marcelo Fernandes & Eduardo Mendes & Olivier Scaillet, 2015.
"Testing for symmetry and conditional symmetry using asymmetric kernels,"
Annals of the Institute of Statistical Mathematics,
Springer;The Institute of Statistical Mathematics, vol. 67(4), pages 649-671, August.
- Marcelo FERNANDES & Eduardo F. MENDES & Olivier SCAILLET, "undated". "Testing for Symmetry and Conditional Symmetry Using Asymmetric Kernels," Swiss Finance Institute Research Paper Series 11-32, Swiss Finance Institute.
- Genest, Christian & Rémillard, Bruno & Beaudoin, David, 2009. "Goodness-of-fit tests for copulas: A review and a power study," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 199-213, April.
- Rémillard, Bruno & Scaillet, Olivier, 2009. "Testing for equality between two copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(3), pages 377-386, March.
- Zhang, Shulin & Okhrin, Ostap & Zhou, Qian M. & Song, Peter X.-K., 2016. "Goodness-of-fit test for specification of semiparametric copula dependence models," Journal of Econometrics, Elsevier, vol. 193(1), pages 215-233.
- Fantazzini, Dean, 2011. "Analysis of multidimensional probability distributions with copula functions. III," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 24(4), pages 100-130.
- Gery Geenens & Arthur Charpentier & Davy Paindaveine, 2014. "Probit Transformation for Nonparametric Kernel Estimation of the Copula Density," Working Papers ECARES ECARES 2014-23, ULB -- Universite Libre de Bruxelles.
- Sebastian Kiwitt & Natalie Neumeyer, 2013. "A note on testing independence by a copula-based order selection approach," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(1), pages 62-82, March.
More about this item
KeywordsNonparametric Copula density Goodness-of-fit test U-statistic;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- D18 - Microeconomics - - Household Behavior - - - Consumer Protection
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
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:jmvana:v:98:y:2007:i:3:p:533-543. 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/wps/find/journaldescription.cws_home/622892/description#description .