Goodness‐of‐fit for regime‐switching copula models with application to option pricing

DOI10.1002/cjs.11534zbMath1492.62137OpenAlexW3003689530MaRDI QIDQ5107622

Mamadou Y. Thioub, Bouchra R. Nasri, Bruno Rémillard

Publication date: 28 April 2020

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cjs.11534

zbMATH Keywords

time seriescopulasgoodness-of-fitregime-switching modelsgeneralized error models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Change-point problems for multivariate time series using pseudo-observations

Uses Software

• R
• CRAN
• HMMcopula

Cites Work

• CRAN