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Analysis of multidimensional probability distributions with copula functions. III

Author

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  • Fantazzini, Dean

    () (Moscow School of Economics, Moscow State University; Higher School of Economics; Moscow)

Abstract

The final part of the consultation series on copula functions is devoted to the description of copula selection methods to choose the copula model that provides the best fit for the empirical data at hand, as well as to the description of copula evaluation methods by using goodness-of-fit tests.

Suggested Citation

  • Fantazzini, Dean, 2011. "Analysis of multidimensional probability distributions with copula functions. III," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 24(4), pages 100-130.
  • Handle: RePEc:ris:apltrx:0105
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    File URL: http://pe.cemi.rssi.ru/pe_2011_4_100-130.pdf
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    References listed on IDEAS

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    1. Y. Malevergne & D. Sornette, 2003. "Testing the Gaussian copula hypothesis for financial assets dependences," Quantitative Finance, Taylor & Francis Journals, vol. 3(4), pages 231-250.
    2. W. Breymann & A. Dias & P. Embrechts, 2003. "Dependence structures for multivariate high-frequency data in finance," Quantitative Finance, Taylor & Francis Journals, vol. 3(1), pages 1-14.
    3. 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.
    4. Panchenko, Valentyn, 2005. "Goodness-of-fit test for copulas," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(1), pages 176-182.
    5. Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2007. "Selecting copulas for risk management," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2405-2423, August.
    6. Huffer, Fred W. & Park, Cheolyong, 2007. "A test for elliptical symmetry," Journal of Multivariate Analysis, Elsevier, vol. 98(2), pages 256-281, February.
    7. repec:adr:anecst:y:2000:i:59-60:p:11 is not listed on IDEAS
    8. Daniel Berg, 2009. "Copula goodness-of-fit testing: an overview and power comparison," The European Journal of Finance, Taylor & Francis Journals, vol. 15(7-8), pages 675-701.
    9. 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.
    10. Fantazzini, Dean, 2011. "Analysis of multidimensional probability distributions with copula functions," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 22(2), pages 98-134.
    11. repec:adr:anecst:y:2000:i:60:p:10 is not listed on IDEAS
    12. 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.
    13. Huard, David & Evin, Guillaume & Favre, Anne-Catherine, 2006. "Bayesian copula selection," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 809-822, November.
    14. 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.
    15. Cornelia Savu & Mark Trede, 2008. "Goodness-of-fit tests for parametric families of Archimedean copulas," Quantitative Finance, Taylor & Francis Journals, vol. 8(2), pages 109-116.
    16. Isabelle Huault & V. Perret & S. Charreire-Petit, 2007. "Management," Post-Print halshs-00337676, HAL.
    17. 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.
    18. Fantazzini, Dean, 2011. "Analysis of multidimensional probability distributions with copula functions. II," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 23(3), pages 98-132.
    19. Fermanian, Jean-David, 2005. "Goodness-of-fit tests for copulas," Journal of Multivariate Analysis, Elsevier, vol. 95(1), pages 119-152, July.
    20. Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
    21. Genest, Christian & Quessy, Jean-François & Rémillard, Bruno, 2006. "On the joint asymptotic behavior of two rank-based estimators of the association parameter in the gamma frailty model," Statistics & Probability Letters, Elsevier, vol. 76(1), pages 10-18, January.
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    Citations

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    Cited by:

    1. Travkin, A., 2015. "Estimating Pair-Copula Constructions Using Empirical Tail Dependence Functions: an Application to Russian Stock Market," Journal of the New Economic Association, New Economic Association, vol. 25(1), pages 39-55.
    2. Blagoveschensky, Yury, 2012. "Basics of copula’s theory," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 26(2), pages 113-130.
    3. Travkin, Alexandr, 2013. "Pair copula constructions in portfolio optimization ploblem," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 32(4), pages 110-133.
    4. Balaev, Alexey, 2014. "The copula based on multivariate t-distribution with vector of degrees of freedom," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 90-110.
    5. Knyazev, Alexander & Lepekhin, Oleg & Shemyakin, Arkady, 2016. "Joint distribution of stock indices: Methodological aspects of construction and selection of copula models," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 42, pages 30-53.
    6. Penikas, Henry, 2014. "Investment portfolio risk modelling based on hierarchical copulas," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 35(3), pages 18-38.
    7. Fantazzini, Dean, 2011. "Analysis of multidimensional probability distributions with copula functions. II," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 23(3), pages 98-132.
    8. repec:nea:journl:y:2017:i:35:p:33-52 is not listed on IDEAS

    More about this item

    Keywords

    copula; copula selection; test statistic; information criteria; Bayesian copula selection; copula evaluation; goodness-of-fit test; empirical analysis;

    JEL classification:

    • C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
    • C69 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Other

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