Goodness-of-fit test for copulas

By Valentyn Panchenko. 2005

75 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/be702fb9b072dacefb8accbbd9ecf649d3bacba3

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Citations in the corpus

Copula-Based Models for Financial Time Series (2009, methodology): “Fermanian (2005) and Scaillet (2007) consider such an approach for models based on iid data, while Malevergne and Sornette (2003) and Panchenko (2005a) consider tests for time series models.”
Multivariate non-normally distributed random variables in climate research - introduction to the copula approach (2008, methodology): “Pickands (1981) proposed a procedure for constructing an extreme value copula.”
The Copula Information Criteria (2014, background): “This non-equivalence provides a further contrast between MPLE-based and MLE-based estimation, and it turns out that the xv-CIC formula is applicable to all common copula models.”
Analysis of inter-gauge dependence by Kendall’s τK, upper tail dependence coefficient, and 2-copulas with application to rainfall fields (2008, background): “The reduction of the number of considered families could be useful, especially in regional analyses, when formal tests of goodness of fit (e.g., Chen et al. 2004; Fermanian 2005; Panchenko 2005; Genest et al. 2006)”
Bivariate flood frequency analysis. Part 2: a copula‐based approach with mixed marginal distributions (2009, background): “Details of the goodnessof-fit tests for copulas can be found in Panchenko (2005) and Genest et al. (2007b).”
Goodness-of-fit tests for copulas: A review and a power study (2006, methodology): “Bakken (2005), Fermanian (2005), Panchenko (2005) and Scaillet (2007); (c) ad hoc categorization of the data into a multi-way contingency table in order to apply an analogue of the standard chi-squared test, along the lines of Genest 2 G–2006–74 Les Cahiers du GERAD”
Multivariate drought characteristics using trivariate Gaussian and Student t copulas (2013, background): “Many proposals have been made recently for goodnessof-fit testing of copula models (Panchenko, 2005; Dobrić and Schmid, 2007; Genest et al., 2007a, 2007b).”
A Goodness-of-fit Test for Copulas (2014, methodology): “survey). Panchenko (2005) proposes a test based on a V-statistic.”