Evidence that asset returns are more highly correlated during volatile markets and during market downturns (see Longin and Solnik, 2001, and Ang and Chen, 2002) has lead some researchers to propose alternative models of dependence. In this paper we develop two simple goodness-of-fit tests for...

Let <italic>F</italic> denote a distribution function defined on the probability space (Ω,null,<italic>P</italic>), which is absolutely continuous with respect to the Lebesgue measure in <italic>R</italic> with probability density function <italic>f</italic>. Let <italic>f</italic>₀(·,β) be a parametric density function that depends on an unknown <italic>p</italic> × 1 vector β. In this...

In this paper, we develop a general approach for constructing simple tests for the correct density forecasts, or equivalently, for i.i.d. uniformity of appropriately transformed random variables. It is based on nesting a series of i.i.d. uniform random variables into a class of copula-based...

Recently Chen and Fan (2003a) introduced a new class of semiparametric copula-based multivariate dynamic (SCOMDY) models. A SCOMDY model specifies the conditional mean and the conditional variance of a multivariate time series parametrically (such as VAR, GARCH), but specifies the multivariate...

This paper studies the estimation of a class of copula-based semiparametric stationary Markov models. These models are characterized by nonparametric invariant (or marginal) distributions and parametric copula functions that capture the temporal dependence of the processes; the implied...

This paper presents and examines a new algorithm for solving a score equation for the maximum likelihood estimate in certain problems of practical interest. The method circumvents the need to compute second order derivatives of the full likelihood function. It exploits the structure of certain...

This paper studies the estimation of a class of copula-based semiparametric stationary Markov models. These models are characterized by nonparametric invariant (or marginal) distributions and parametric copula functions that capture the temporal dependence of the processes; the implied...

Evidence that asset returns are more highly correlated during volatile markets and during market downturns (see Longin and Solnik, 2001, and Ang and Chen, 2002) has lead some researchers to propose alternative models of dependence. In this paper we develop two simple goodness-of-fit tests for...

We consider the identification of counterfactual distributions and treatment effects when the outcome variables and conditioning covariates are observed in separate data sets. Under the standard selection on observables assumption, the counterfactual distributions and treatment effect parameters...