Copulas, goodness-of-fit tests and measurement of stochastic dependencies before and during the financial crisis

DOI10.1007/978-3-642-20009-0_17MaRDI QIDQ5232803zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

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

Recommendations

• Crisis and risk dependencies
• Testing Goodness of Fit for Parametric Families of Copulas—Application to Financial Data
• Change analysis of a dynamic copula for measuring dependence in multivariate financial data
• scientific article; zbMATH DE number 5510442
• Testing the Gaussian copula hypothesis for financial assets dependences

Cites work

• scientific article; zbMATH DE number 5080942 (Why is no real title available?)
• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• A goodness of fit test for copulas based on Rosenblatt's transformation
• An introduction to copulas.
• Dependence structures for multivariate high-frequency data in finance
• Goodness-of-fit tests for copulas: A review and a power study
• Pair-copula constructions of multiple dependence
• The t Copula and Related Copulas
• 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
• Testing for asymmetry in betas of cumulative returns: impact of the financial crisis and crude oil price
• Financial Crisis, VaR Forecasts and the Performance of Time Varying EVT-Copulas
• 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

This page was built for publication: Copulas, goodness-of-fit tests and measurement of stochastic dependencies before and during the financial crisis

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5232803)