Is a Normal Copula the Right Copula?

DOI10.1080/07350015.2018.1505631zbMATH Open1547.62585MaRDI QIDQ6626311

Enrique Sentana, Dante Amengual

Publication date: 28 October 2024

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

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Related Items (4)

Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility ⋮ Dealing With Endogeneity in Threshold Models Using Copulas ⋮ Specification tests for non-Gaussian structural vector autoregressions ⋮ Gaussian dependence structure pairwise goodness-of-fit testing based on conditional covariance and the 20/60/20 rule

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