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Nonparametric tests for constant tail dependence with an application to energy and finance
Bücher, Axel; Jäschke, Stefan; Wied, Dominik - In: Journal of econometrics 187 (2015) 1, pp. 154-168
Persistent link: https://www.econbiz.de/10011498799
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Goodness-of-fit tests for multivariate copula-based time series models
Berghaus, Betina; Bücher, Axel - In: Econometric theory 33 (2017) 2, pp. 292-330
Persistent link: https://www.econbiz.de/10011665334
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Testing asymmetry in dependence with copula-coskewness
Bücher, Axel; Irresberger, Felix; Weiß, Gregor - In: North American actuarial journal 21 (2017) 2, pp. 267-280
Persistent link: https://www.econbiz.de/10011858031
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Nonparametric tests for tail monotonicity
Berghaus, Betina; Bücher, Axel - In: Journal of econometrics 180 (2014) 2, pp. 117-126
Persistent link: https://www.econbiz.de/10010433404
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Using the extremal index for value-at-risk backtesting
Bücher, Axel; Posch, Peter N.; Schmidtke, Philipp - In: Journal of financial econometrics 18 (2020) 3, pp. 556-584
Persistent link: https://www.econbiz.de/10012316700