In view of applications to diagnostic tests of ARMA models, the asymptotic behavior of multivariate empirical and copula processes based on residuals of ARMA models is investigated. Multivariate empirical processes based on squared residuals and other functions of the residuals are also...

In this paper, we extend copula-based univariate time series models studied in Chen & Fan (2006) to multivariate time series. Doing so, we tackle at the same time serial dependence as well as interdependence between several time series. The proposed methodology is totally different from the...

We propose an innovative approach for dynamic portfolio insurance that overcomes many of the limitations of the earlier techniques. We transform the Payoff Distribution Model, originally introduced by Dybvig (1988) as a performance measure, to a fund management tool. This approach allows us to...

The derivation of the bi-variate Payoff Distribution model by Kat and Palaro (2005) represents an interesting contribution to the performance evaluation and asset pricing literature. Nonetheless, their approach for evaluating the function is significantly flawed. Recently, Papageorgiou et al....

In this paper, we present a new alternative performance measure (APM) which evaluates not only for the marginal distribution of a given fund but also its' dependence (correlation) with a reference portfolio. This performance measure is of particular value in assessing hedge fund return as the...

It is shown that parametric bootstrap can be used for computing P-values of goodness-of-fit tests of multivariate time series parametric models. These models include Markovian models, GARCH models with non-Gaussian innovations, regime-switching models, as well as semi parametric models involving...

Test statistics for checking the independence between the innovations of several time series are developed. The time series models considered allow for general specifications for the conditional mean and variance functions that could depend on common explanatory variables. In testing for...

In this paper, using simulations, we compare specification procedures for testing the null hypothesis of a Gaussian distribution for the innovations of GARCH models. More precisely, Cramer-von Mises and Kolmogorov-Smirnov type statistics are computed for empirical processes based on the...

Extending the multiplier central limit theorem and resampling bootstrap to statistics and empirical processes of pseudo-observations, it is shown how to build asymptotically independent copies of statistics and empirical processes to perform statistical tests. Application to parametric and...

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 parameters were known, a remarkable property. However,...