This paper generalizes the locally optimal linear rank test based on copula from Shirahata (1974) resp. Guillén and …

This paper introduces a copula based multivariate rank test for independence extending existing approaches from … literature to p dimensions. Then, a multiparametric p-dimensional generalization of the FGM copula is provided that can model the … copulas. The independence copula is nested in this family if and only if every parameter is zero. In this case, a popular way …

The asymptotic behaviour of the empirical copula constructed from residuals of stochastic volatility models is studied …. It is shown that if the stochastic volatility matrix is diagonal, then the empirical copula process behaves like if the …

This paper make an overview of the copula theory from a practical side. We consider different methods of copula … Gaussian copulae but also Hierarchical Archimedean Copulae. Afterwards we provide an empirical part to support the theory …. -- copula ; multivariate distribution ; Archimedean copula ; GoF …