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~subject:"Copulas"
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Copulas
Goodness-of-fit tests
26
goodness-of-fit tests
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Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates
Chen, Xiaohong
;
Fan, Yanqin
;
Patton, Andrew J.
-
London School of Economics (LSE)
-
2004
paper we develop two simple
goodness-of-fit
tests
for such models. We use these tests to determine whether the multivariate …
Persistent link: https://www.econbiz.de/10010746302
Saved in:
2
Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach
Boubaker, Heni
;
Sghaier, Nadia
- In:
Journal of Banking & Finance
37
(
2013
)
2
,
pp. 361-377
copula, in addition to the
goodness
of
fit
tests
, we employ a graphical method based on visual comparison of the fitted …
Persistent link: https://www.econbiz.de/10010595280
Saved in:
3
Portfolio optimization in the presence of dependent financial returns with long memory : a copula based approach
Boubaker, Heni
;
Sghaier, Nadia
- In:
Journal of banking & finance
37
(
2013
)
2
,
pp. 361-377
Persistent link: https://www.econbiz.de/10009705653
Saved in:
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