Garmann, Sebastian; Grundke, Peter - In: The European Journal of Finance 19 (2013) 1, pp. 75-88
Knowing the multivariate stochastic dependence between random variables is of crucial importance for many finance applications. To check the adequacy of copula assumptions by which stochastic dependencies can be described, goodness-of-fit (gof) tests have to be carried out. These tests require...