Goodness of Fit Tests for Copulas
This paper defines two distribution free goodness-of-fit test statistics for copulas and statestheir asymptotic distributions under some composite parametric assumptions. The results arestated formally in an independent identically distributed framework, and partially in timedependentframeworks. We provide a simulation study and an empirical example by studyingthe dependency between several couples of equity indices.
Year of publication: |
2003
|
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Authors: | Fermanian, Jean-David |
Institutions: | Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) |
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