Nonparametric Tests for Positive Quadrant Dependence

By Michel Denuit, Olivier Scaillet. 2004

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Asymptotics of empirical copula processes under non-restrictive smoothness assumptions (2010, background): “(3.7) In ( ∞([0,1]d))2, we have by Lemma A.1 in Rémillard and Scaillet [24], (αn,α ′ n) (α,α′) (n → ∞), (3.8) where α′ is an independent copy of α.”
Dependence structure and extreme comovements in international equity and bond markets (2011, unknown): “The il dependence measure is also related to the concept of lower (upper) orthant ependence concept (see Denuit and Scaillet, 2004). 1956 R. Garcia, G. Tsafack / Journal of Banking & Finance 35 (2011) 1954–1970”
Nonparametric Estimation of Copulas for Time Series (2002, background): “We end up this section with the description of how to build the sample analogues of the dependence measures (3)-(6).”
A kolmogorov‐smirnov type test for positive quadrant dependence (2005, background): “We refer to Denuit & Scaillet (2004) for further discussion and the practical implications on the design of reinsurance treaties when PQD is present.”