Detecting departures from meta-ellipticity for multivariate stationary time series

DOI10.1515/demo-2021-0105zbMath1473.62302OpenAlexW3185250216MaRDI QIDQ2236384

Aleksey Min, Miriam Jaser, Axel Bücher

Publication date: 22 October 2021

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2021-0105

zbMATH Keywords

empirical processgoodness-of-fit testelliptical copulasubsampling bootstrapfinancial log returns

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15)

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