Copulas, goodness-of-fit tests and measurement of stochastic dependencies before and during the financial crisis
DOI10.1007/978-3-642-20009-0_17zbMATH Open1420.91527OpenAlexW2233816700MaRDI QIDQ5232803FDOQ5232803
Authors: Peter Grundke, Simone Dieckmann 
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
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Cites Work
- Goodness-of-fit tests for copulas: A review and a power study
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- Pair-copula constructions of multiple dependence
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- An introduction to copulas.
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- The t Copula and Related Copulas
- Dependence structures for multivariate high-frequency data in finance
- A goodness of fit test for copulas based on Rosenblatt's transformation
- Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models
Cited In (7)
- Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market
- Pitfalls in modelling dependence structures: explorations with copulas
- Financial Crisis, VaR Forecasts and the Performance of Time Varying EVT-Copulas
- Testing for asymmetry in betas of cumulative returns: impact of the financial crisis and crude oil price
- Testing the Gaussian copula hypothesis for financial assets dependences
- Crisis and risk dependencies
- Goodness‐of‐fit for regime‐switching copula models with application to option pricing
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