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Some comments on goodness-of-fit tests for the parametric form of the copula based on L2-distances

Author:

Bücher Axel,Dette Holger

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Numerical Analysis,Statistics and Probability

Reference27 articles.

1. Understanding relationships using copulas;Frees;North American Actuarial Journal,1998

2. Correlation and dependence in risk management: Properties and pitfalls;Embrechts,2002

3. Quantitative Risk Management;McNeil,2005

5. Multivariate Models and Dependence Concepts;Joe,1997

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