Goodness-of-fit tests for parametric families of Archimedean copulas

被引：39

作者：

Savu, Cornelia ^{[1
]}

Trede, Mark ^{[1
]}

机构：

[1] Univ Munster, Inst Econometr, D-48143 Munster, Germany

来源：

QUANTITATIVE FINANCE | 2008年 / 8卷 / 02期

关键词：

D O I：

10.1080/14697680701207639

中图分类号：

F8 [财政、金融];

学科分类号：

0202 [应用经济学];

摘要：

[No abstract available]

引用

页码：109 / 116

页数：8

共 32 条

[1]

[Anonymous], 1997, MULTIVARIATE MODELS

[2]

[Anonymous], 1983, N HOLLAND SERIES PRO

[3]

On Kendall's process [J].

Barbe, P ;

Genest, C ;

Ghoudi, K ;

Remillard, B .

JOURNAL OF MULTIVARIATE ANALYSIS, 1996, 58 (02) :197-229

[4]

BERG D, 2005, COPULA GOODNESS OF F

[5]

BOUYE E, 2001, COPULAS OPEN FIELD R

[6]

Chen X, 2004, 483 LOND SCH EC

[7]

THE USE OF MAXIMUM LIKELIHOOD ESTIMATES IN X2 TESTS FOR GOODNESS OF FIT [J].

CHERNOFF, H ;

LEHMANN, EL .

ANNALS OF MATHEMATICAL STATISTICS, 1954, 25 (03) :579-586

[8]

Cherubini U., 2004, Copula Methods in Finance, DOI DOI 10.1002/9781118673331

[9]

Deheuvels P., 1979, Bull. Acad. R. Belg. Cl. Sci, V65, P274, DOI [10.3406/barb.1979.58521, DOI 10.3406/BARB.1979.58521]

[10]

The t copula and related copulas [J].

Demarta, S ;

McNeil, AJ .

INTERNATIONAL STATISTICAL REVIEW, 2005, 73 (01) :111-129

← 1 2 3 4 →