On the influence of autocorrelation and GARCH-effects on goodness-of-fit tests for copulas
Year of publication: |
2013
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Authors: | Garmann, Sebastian ; Grundke, Peter |
Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 19.2013, 1/2, p. 75-88
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Subject: | autocorrelation | copula | GARCH models | goodness-of-fit test | Multivariate Verteilung | Multivariate distribution | Autokorrelation | Autocorrelation | ARCH-Modell | ARCH model | Statistischer Test | Statistical test | Schätztheorie | Estimation theory |
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