Goodness of Fit Tests for Copulas
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- 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.
- Chen, Xiaohong & Fan, Yanqin & Patton, Andrew J., 2004.
"Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates,"
LSE Research Online Documents on Economics
24681, London School of Economics and Political Science, LSE Library.
- 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.
- Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation of copula-based semiparametric time series models," Journal of Econometrics, Elsevier, vol. 130(2), pages 307-335, February.
- Xiaohong Chen & Yanqin Fan, 2004. "A Model Selection Test for Bivariate Failure-Time Data," Vanderbilt University Department of Economics Working Papers 0421, Vanderbilt University Department of Economics, revised Oct 2004.
- Casey Quinn, 2005. "Generalisable regression methods for costeffectiveness using copulas," Health, Econometrics and Data Group (HEDG) Working Papers 05/13, HEDG, c/o Department of Economics, University of York.
- 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.
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