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The ScoD model : analyzing durations with a semiparametric copula approach

Savu, Cornelia; Ng, Wing Lon - 2006

Persistent link: https://www.econbiz.de/10003347599

Dynamic order submission and herding behavior in electronic trading

Wing Lon Ng - In: The journal of financial research 33 (2010) 1, pp. 27-43

Persistent link: https://www.econbiz.de/10003966716

Modeling duration clusters with dynamic copulas

Wing Lon Ng - In: Finance research letters 5 (2008) 2, pp. 96-103

Persistent link: https://www.econbiz.de/10003751303

Goodness-of-fit tests for parametric families of Archimedean copulas

Trede, Mark; Savu, Cornelia - 2004

Persistent link: https://www.econbiz.de/10002688693

Goodness-of-fit tests for parametric families of Archimedean copulas

Savu, Cornelia; Trede, Mark - 2004

This paper suggests a goodness-of-fit test for parametric families of Archimedean copulas for high dimensional distributions. The test statistic is based on the classical chi-square-statistic but has a nonstandard asymptotic distribution. Monte-Carlo simulations show that the test keeps the...

Persistent link: https://www.econbiz.de/10009349860