On the influence of autocorrelation and GARCH-effects on goodness-of-fit tests for copulas
Sebastian Garmann and Peter Grundke
| Year of publication: |
2013
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|---|---|
| Authors: | Garmann, Sebastian ; Grundke, Peter |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 19.2013, 1/2, p. 75-88
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| Subject: | autocorrelation | copula | GARCH models | goodness-of-fit test | ARCH-Modell | ARCH model | Multivariate Verteilung | Multivariate distribution | Statistischer Test | Statistical test | Autokorrelation | Autocorrelation | Schätztheorie | Estimation theory | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Kapitaleinkommen | Capital income |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009733297