Goodness-of-fit test for specification of semiparametric copula dependence models-Reference-Cited by-同舟云学术

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Goodness-of-fit test for specification of semiparametric copula dependence models

Published:2016-07 Issue:1 Volume:193 Page:215-233
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Zhang Shulin,Okhrin Ostap,Zhou Qian M.,Song Peter X.-K.

Funder

Fundamental Research Funds for the Central Universities of China

Natural Sciences and Engineering Research Council of Canada

Natural Science of Foundations of USA

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference59 articles.

1. Local power analyses of goodness-of-fit tests for copulas;Berg;Scand. J. Stat.,2009

2. Dependence structures for multivariate high-frequency data in finance;Breymann;Quant. Finance,2003

3. Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection;Chen;Canad. J. Statist.,2005

4. Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification;Chen;J. Econometrics,2006

5. Copula Methods in Finance;Cherubini,2004

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1. Sparse M-estimators in semi-parametric copula models;Bernoulli;2024-08-01

2. Information matrix equivalence in the presence of censoring: a goodness-of-fit test for semiparametric copula models with multivariate survival data;Statistical Papers;2024-05-31

3. Goodness‐of‐fit test for semiparametric copula models with bivariate interval‐censored data;Stat;2023-01

4. An information ratio‐based goodness‐of‐fit test for copula models on censored data;Biometrics;2022-12-14

5. Time to Kidneys Failure Modeling in the Patients at Adama Hospital Medical College: Application of Copula Model;Journal of Research in Health Sciences;2022-07-11

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