A copula test space model: How to avoid the wrong copula choice
Download full text from publisher
References listed on IDEAS
- Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2007. "Selecting copulas for risk management," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2405-2423, August.
- Bouye, Eric & Durlleman, Valdo & Nikeghbali, Ashkan & Riboulet, Gaël & Roncalli, Thierry, 2000. "Copulas for finance," MPRA Paper 37359, University Library of Munich, Germany.
- Robert T. Clemen & Terence Reilly, 1999. "Correlations and Copulas for Decision and Risk Analysis," Management Science, INFORMS, pages 208-224.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Frederik Michiels & Ann De Schepper, 2012. "How to improve the fit of Archimedean copulas by means of transforms," Statistical Papers, Springer, vol. 53(2), pages 345-355, May.
- MICHIELS, Frederik & DE SCHEPPER, Ann, 2009. "Understanding copula transforms: A review of dependence properties," Working Papers 2009012, University of Antwerp, Faculty of Applied Economics.
- George Messinis, 2009. "Earnings and Languages in the Family: Second-Generation Australians," The Economic Record, The Economic Society of Australia, vol. 85(s1), pages 59-73, September.
More about this item
KeywordsCopula; Kendall’s ?; Goodness-of-fit;
NEP fieldsThis paper has been announced in the following NEP Reports:
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:ant:wpaper:2007027. 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: (Joeri Nys). General contact details of provider: http://edirc.repec.org/data/ftufsbe.html .
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.