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Fitting high-dimensional copulae to data

Okhrin, Ostap - 2010

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 …

Persistent link: https://www.econbiz.de/10003953039

Goodness-of-Fit Tests for Copulas of Multivariate Time Series

Remillard, Bruno - 2014

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 …

Persistent link: https://www.econbiz.de/10013068847

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

Contributions to static and time-varying copula-based modeling of multivariate association : with applications to financial time-series

Ruppert, Martin - 2012 - 1. Aufl.

Persistent link: https://www.econbiz.de/10009511787

Robust tests for convergence clubs

Corrado, Luisa; Stengos, Thanasēs; Weeks, Melvyn; … - 2018

Persistent link: https://www.econbiz.de/10012672314

Some robust approaches based on copula for monitoring bivariate processes and component-wise assessment

Song, Zhi; Mukherjee, Amitava; Zhang, Jiujun - In: European journal of operational research : EJOR 289 (2021) 1, pp. 177-196

Persistent link: https://www.econbiz.de/10012416302

Time-varying dependency and structural changes in currency markets

Hsieh, Chia-hsun; Huang, Shian-chang - In: Emerging markets finance & trade : a journal of the … 48 (2012) 2, pp. 94-127

Persistent link: https://www.econbiz.de/10009622270

Testing for structural breaks in factor copula models

Manner, Hans; Stark, Florian; Wied, Dominik - In: Journal of econometrics 208 (2019) 2, pp. 324-345

Persistent link: https://www.econbiz.de/10012145023

Theory and practice of testing for a single structural break in Stata

Majune, Socrates Kraido - 2018

The major objective of this paper is to demonstrate, theoretically and empirically, the test of a single structural break/change. Failure to address a structural break can lead to forecasting errors and the general unreliability of a model. Three approaches of testing for structural change are...

Persistent link: https://www.econbiz.de/10011774223

A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations

Creal, Drew; Koopman, Siem Jan; Lucas, André - 2010

representation as a time-varying heavy-tailed copula which is particularly useful if the interest focuses on dependence structures …

Persistent link: https://www.econbiz.de/10011380135

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