Two-sample testing for tail copulas with an application to equity indices
Year of publication: |
2024
|
---|---|
Authors: | Can, Sami Umut ; Einmahl, John H. J. ; Laeven, Roger J. A. |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 42.2024, 1, p. 147-159
|
Subject: | Tail copula | Distribution-free testing | Financial crisis | Martingale transformation | Tail dependence | Two-sample testing | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Statistischer Test | Statistical test | Statistische Verteilung | Statistical distribution | Finanzkrise | Martingal | Martingale | Stichprobenerhebung | Sampling |
-
Two-sample testing for tail copulas with an application to equity indices
Can, Sami Umut, (2021)
-
Asymptotically distribution-free goodness-of-fit testing for tail copulas
Can, Sami Umut, (2014)
-
A goodness-of-fit test for copulas based on martingale transformation
Lu, Xiaohui, (2020)
- More ...
-
Asymptotically distribution-free goodness-of-fit testing for tail copulas
Can, Sami Umut, (2014)
-
Asymptotically distribution-free goodness-of-fit testing for copulas
Can, Sami Umut, (2017)
-
Two-sample testing for tail copulas with an application to equity indices
Can, Sami Umut, (2021)
- More ...