Goodness-of-fit tests for parametric families of Archimedean copulas
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Publication:3498559
DOI10.1080/14697680701207639zbMath1134.91556OpenAlexW2125262854MaRDI QIDQ3498559
Publication date: 15 May 2008
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680701207639
Related Items (11)
A stochastic representation and sampling algorithm for nested Archimedean copulas ⋮ On testing equality of pairwise rank correlations in a multivariate random vector ⋮ Do stock returns have an Archimedean copula? ⋮ Testing Goodness of Fit for Parametric Families of Copulas—Application to Financial Data ⋮ On the structure and estimation of hierarchical Archimedean copulas ⋮ Inference in multivariate Archimedean copula models ⋮ Copula parameter estimation by maximum-likelihood and minimum-distance estimators: a simulation study ⋮ Unnamed Item ⋮ A goodness of fit test for copulas based on Rosenblatt's transformation ⋮ Fitting High-Dimensional Copulae to Data ⋮ Comments on: Inference in multivariate Archimedean copula models
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