Goodness-of-fit test for copulas
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Valentyn Panchenko
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Article
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2005
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Elsevier Science
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English
β 195 KB
Copulas are often used in finance to characterize the dependence between assets. However, a choice of the functional form for the copula is an open question in the literature. This paper develops a goodness-of-fit test for copulas based on positive definite bilinear forms. The suggested test avoids