Gaussian copula is by far the most popular copula used in the financial industry in default dependency modeling. However, it has a major drawback – it does not exhibit tail dependence, a very important property for copula. The essence of tail dependence is the interdependence when extreme...

We propose a nonparametric test for checking parametric hypotheses about the stationary density of weakly dependent observations. The test statistic is based on the L2-distance between a nonparametric and a smoothed version of a parametric estimate of the stationary density. It can be shown that...

A recipe is provided for producing, from a sequence of procedures in the Gaussian regression model, an asymptotically equivalent sequence in the density estimation model with i. i. d. observations. The recipe is, to put it roughly, to calculate square roots of normalised frequencies over certain...