National Centre of Competence in Research Financial Valuation and Risk Management

By Olivier Scaillet, Nikolas Topaloglou. 2005

70 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/e3369c7fb381393e415192a5c6db562202811ee8

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Citations in the corpus

Probit Transformation for Nonparametric Kernel Estimation of the Copula Density (2014, methodology): “Although some papers ignored these boundary issues (Fermanian and Scaillet, 2003, Fermanian, 2005, Scaillet, 2007, Faugeras, 2009), it is clear that accurate estimation of c calls for some boundary correction.”
Metaelliptical copulas and their use in frequency analysis of multivariate hydrological data (2007, background): “They can be divided into three broad classes: (1) tests based on the probability integral transformation of Rosenblatt [1952] [e.g., Breymann et al., 2003; Dobric´ and Schmid, 2007], (2) tests that involve kernel smoothing [e.g., Fermanian, 2005; Panchenko, 2005; Scaillet, 2007 ], and (3) omnibus t”
An Overview of the Goodness-of-Fit Test Problem for Copulas (2012, background): “Nonetheless, such ideas have been extended in [85] to deal with the fixed design case.”
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.”
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”