Goodness-of-fit tests for parametric families of Archimedean copulas
By C. Savu, Mark Trede. 2008
66 citations recorded by the source corpus.
Subfields: Finance, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/098ab79ef4fe9d69aa977d7e0a02ad8f3a2c28b8
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Daniel Berg
- Andrew J. Patton
- Jean-David Fermanian
- Christian Genest
- Johana Nešlehová
- Marius Hofert
- C. Savu
- Mark Trede
In Statistics and Probability
- Daniel Berg
- Jean-David Fermanian
- Christian Genest
- Johana Nešlehová
- Marius Hofert
- C. Savu
- Mark Trede
- J. Ziegel
Citations in the corpus
- A stochastic representation and sampling algorithm for nested Archimedean copulas (2012, methodology): “For an application of Archimedean copulas to the modelling of stock returns, see [5].”
- Copula goodness-of-fit testing: an overview and power comparison (2009, methodology): “The Rosenblatt transformation, proposed by Rosenblatt (1952) , transforms a set of dependent variables into a set of independent U [0,1] variables, given the multivariate distribution.”
- Hierarchies of Archimedean copulas (2010, methodology): “families of Archimedean copulas are given by Savu and Trede (2008). The algorithm for computing the density (6) has been implemented in R (www.”
- Inference in multivariate Archimedean copula models (2011, methodology): “4 would be doomed to fail and goodness-of-fit tests based on Kn,d could not be consistent for Archimedean copula models (Genest et al. 2006; Savu and Trede 2008 ).”
- An Overview of the Goodness-of-Fit Test Problem for Copulas (2012, methodology): “All the previously proposed test statistics can be applied when C is an assumed particular Archimedean family, as in [90], [83].”
- Operational Risk Quantification Using Extreme Value Theory and Copulas: From Theory to Practice (2009, unknown): “To fit the parameters using maximum of likelihood, we use the close form expressions provided in Savu and Trede (2008).”