Testing Goodness of Fit for Parametric Families of Copulas—Application to Financial Data

DOI10.1080/03610910500308685zbMath1080.62040OpenAlexW2075734942MaRDI QIDQ5719273

Jadran Dobrić, Friedrich Schmid

Publication date: 18 January 2006

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910500308685

zbMATH Keywords

copulasFrank copulaGauss copulapower of testschi-square test of fit\(t_{\nu}\)-copuladaily asset returnsJohnson copula

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Monte Carlo methods (65C05)

Related Items (11)

Multi-objective portfolio optimization considering the dependence structure of asset returns ⋮ Robust estimators and tests for bivariate copulas based on likelihood depth ⋮ Stress-strength reliability with dependent variables based on copula function ⋮ Goodness-of-fit tests for parametric families of Archimedean copulas ⋮ Do stock returns have an Archimedean copula? ⋮ New measure of the bivariate asymmetry ⋮ Goodness-of-fit tests for copulas: A review and a power study ⋮ Asymptotic total variation tests for copulas ⋮ Unnamed Item ⋮ A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost ⋮ Efficient information based goodness-of-fit tests for vine copula models with fixed margins: a comprehensive review

Cites Work

• Goodness-of-fit tests for copulas
• Goodness-of-fit tests for parametric families of Archimedean copulas
• Unnamed Item

This page was built for publication: Testing Goodness of Fit for Parametric Families of Copulas—Application to Financial Data