Testing Goodness of Fit for Parametric Families of Copulas—Application to Financial Data
DOI10.1080/03610910500308685zbMath1080.62040MaRDI QIDQ5719273
Friedrich Schmid, Jadran Dobrić
Publication date: 18 January 2006
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610910500308685
copulas; Frank copula; Gauss copula; power of tests; chi-square test of fit; \(t_{\nu}\)-copula; daily asset returns; Johnson copula
62H10: Multivariate distribution of statistics
62P05: Applications of statistics to actuarial sciences and financial mathematics
62H15: Hypothesis testing in multivariate analysis
62H05: Characterization and structure theory for multivariate probability distributions; copulas
65C05: Monte Carlo methods
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