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Goodness-of-fit tests for parametric families of Archimedean copulas

✍ Scribed by Savu, Cornelia; Trede, Mark


Book ID
120281620
Publisher
Taylor and Francis Group
Year
2008
Tongue
English
Weight
165 KB
Volume
8
Category
Article
ISSN
1469-7688

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Goodness-of-fit test for copulas
✍ Valentyn Panchenko πŸ“‚ Article πŸ“… 2005 πŸ› Elsevier Science 🌐 English βš– 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