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On the influence of autocorrelation and GARCH-effects on goodness-of-fit tests for copulas

Garmann, Sebastian; Grundke, Peter - In: The European journal of finance 19 (2013) 1/2, pp. 75-88

Persistent link: https://www.econbiz.de/10009733297

Goodness-of-fit tests for copulas of multivariate time series

Rémillard, Bruno - In: Econometrics : open access journal 5 (2017) 1, pp. 1-23

In this paper, we study the asymptotic behavior of the sequential empirical process and the sequential empirical copula process, both constructed from residuals of multivariate stochastic volatility models. Applications for the detection of structural changes and specification tests of the...

Persistent link: https://www.econbiz.de/10011654178

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

Asymptotically distribution-free goodness-of-fit testing for tail copulas

Can, Sami Umut; Einmahl, John H. J.; Khmaladze, Estate V.; … - 2014

Persistent link: https://www.econbiz.de/10011283328

Forecasting market risk of portfolios: copula-Markov switching multifractal approach

Segnon, Mawuli; Trede, Mark - In: The European journal of finance 24 (2018) 14, pp. 1123-1143

Persistent link: https://www.econbiz.de/10012258877

Detecting structural differences in tail dependence of financial time series

Bormann, Carsten; Schienle, Melanie - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 380-392

Persistent link: https://www.econbiz.de/10012262482

Asymptotic subadditivity/superadditivity of Value-at-Risk under tail dependence

Zhu, Wenhao; Li, Lujun; Yang, Jingping; Xie, Jiehua; … - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1314-1369

Persistent link: https://www.econbiz.de/10014370668

A vine copula : GARCH approach to corporate exposure management

Wells, Christopher M.; Farhat, Ahmad; Richardson, … - In: Journal of risk 20 (2017/2018) 2, pp. 27-51

Persistent link: https://www.econbiz.de/10013262948

Measuring rank correlation coefficients between financial time series : a GARCH-copula based sequence alignment algorithm

Laih, Yih-wenn - In: European journal of operational research : EJOR 232 (2014) 2, pp. 375-382

Persistent link: https://www.econbiz.de/10010224694

A copula-GARCH model of conditional dependencies : estimating Tehran Market Stock Exchange value-at-risk

Shams, Sedigheh; Haghighi, Fatemeh K. - In: Journal of statistical and econometric methods 2 (2013) 2, pp. 39-50

Modeling the dependency between stock market returns is a difficult task when returns follow a complicated dynamics. It is not easy to specify the multivariate distribution relating two or more return series. In this paper, a methodology based on fitting ARIMA, GARCH and ARMA-GARCH models and...

Persistent link: https://www.econbiz.de/10009769897