A Goodness-of-fit Test for Copulas

105 citations recorded by the source corpus.

Subfields: Finance

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Copula goodness-of-fit testing: an overview and power comparison (2009, methodology): “A7: Based on the inner product between two vectors as a measure of their distance, proposed by Panchenko (2005).”
Pair-Copula Constructions for Financial Applications: A Review (2016, background): “The first test is an extension of the bivariate GOF test of [59], while the second is inspired of the work of [60].”
Goodness-of-Fit Tests for Copulas of Multivariate Time Series (2017, unknown): “For example, Panchenko [8] uses a goodness-of-fit test on “filtered” data (residuals of GARCH models in his case), without proving that his proposed methodology works for residuals.”
An Overview of the Goodness-of-Fit Test Problem for Copulas (2012, methodology): “This is the idea of White’s specification test (see [93]), adapted to copulas in [76].”
Multi-period hedge ratios for a multi-asset portfolio when accounting for returns comovement (2008, background): “Examples of recent applications of copulas in finance are Cherubini and Luciano (2002, 2003a, b), Embrechts, Lindskog and McNeil (2003), Giesecke (2004), Junker, Szimayer, and Wagner (2006), Pachenko (2005), and Rosenberg and Schuermann (2006).”
Estimating risk of foreign exchange portfolio: Using VaR and CVaR based on GARCH–EVT-Copula model (2010, background): “[34], Panchenko [35] and Berg and Bakken [36] to select the optimal copula function.”