that, this tail dependence estimator also results from a specific copula mixture. -- Upper tail dependence ; nonparametric … estimation ; copula …

. In order to describe such situations, copula-based models have been studied during the last year. In this paper, we …

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in … copula is favored over Gaussian, Gumbel and Clayton copulas. This suggests that these exchange rate returns are characterized …

This paper concerns goodness-of-fit test for semiparametric copula models. Our contribution is two-fold: we first … use of any probability integral transformations. Under the null hypothesis that the copula model is correctly specified …