Copulas, Goodness-of-Fit Tests and Measurement of Stochastic Dependencies Before and During the Financial Crisis

DOI10.1007/978-3-642-20009-0_17zbMath1420.91527OpenAlexW2233816700MaRDI QIDQ5232803

Simone Dieckmann, Peter Grundke

Publication date: 13 September 2019

Published in: Operations Research Proceedings (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-20009-0_17

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (1)

Crisis and risk dependencies

Cites Work

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• Pair-copula constructions of multiple dependence
• Goodness-of-fit tests for copulas: A review and a power study
• Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models
• An introduction to copulas.
• A goodness of fit test for copulas based on Rosenblatt's transformation
• The t Copula and Related Copulas
• Dependence structures for multivariate high-frequency data in finance

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