A copula test space model how to avoid the wrong copula choice

MaRDI QIDQ3183816zbMATH OpenFDO

Authors Frederik Michiels, Ann De Schepper

Publication date 21 October 2009

Full work available at URL https://eudml.org/doc/33970, http://www.kybernetika.cz/content/2008/6/864

zbMATH Keywords

associated copulasgoodness-of-fitKendall's tau

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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• An introduction to copulas.
• Associative functions. Triangular norms and copulas
• Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
• Correlations and copulas for decision and risk analysis
• Goodness-of-fit tests for copulas
• Goodness-of-fit tests for parametric families of Archimedean copulas
• scientific article; zbMATH DE number 6112569 (Why is no real title available?)
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 5080942 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• Modelling sample selection using Archimedean copulas
• Multivariate concordance
• Pair-copula constructions of multiple dependence
• Sampling Archimedean copulas
• Sampling nested Archimedean copulas
• Some concepts of bivariate symmetry
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Testing Goodness of Fit for Parametric Families of Copulas—Application to Financial Data
• THE IMPACT OF STOCK RETURNS VOLATILITY ON CREDIT DEFAULT SWAP RATES: A COPULA STUDY
• The meta-elliptical distributions with given marginals
• Understanding Relationships Using Copulas

Cited in

(4)

• Goodness-of-fit tests for elliptical and independent copulas through projection pursuit
• Dose marginal distribution require to be tested in copula method? An asset allocation perspective based on CVaR framework
• How to improve the fit of Archimedean copulas by means of transforms
• Copulas, diagonals, and tail dependence

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