The serial dependency of multivariate financial data will often be filtered by considering the residuals of univariate GARCH models adapted to every single series. This is the correct filtering strategy if the multivariate process follows a so-called copula based multivariate dynamic model...

Zhang (2008) defines the quotient correlation coefficient to test for dependence and tail dependence of bivariate random samples. He shows that asymptotically the test statistics are gamma distributed. Therefore, he called the corresponding test gamma test. We want to investigate the speed of...

In this article consistency and asymptotic normality of the quasi-maximum likelihood esti- mator (QMLE) in the class of polynomial augmented generalized autoregressive conditional heteroscedasticity models (GARCH) is proven. The result extend the results of (Berkes et al., 2003) and (Francq and...

We generalize the results for statistical functionals given by [Fernholz, 1983] and [Serfling, 1980] to M estimates for samples drawn for an ergodic and stationary martingale sequence. In a first step, we take advantage of some recent results on the uniform convergency of the empirical...

We proof that Hadamard differentiability in addition with usual assumptions on the loss function for M estimates implies differentiability in quadratic mean. Thus both concepts are exchangeable. -- Hadamard differential ; Differentiability in quadratic mean

In this article, consistency and asymptotic normality of the quasi-maximum likelihood estimator (QMLE) in the class of polynomial augmented generalized autoregressive conditional heteroscedasticity models (GARCH) is proven. The result extends the results of the standard GARCH model to the class...

Since the pioneering work of Embrechts and co-authors in 1999, copula models enjoy steadily increasing popularity in finance. Whereas copulas are well-studied in the bivariate case, the higher-dimensional case still offers several open issues and it is by far not clear how to construct copulas...

Recently, Liebscher (2006) introduced a general construction scheme of d-variate copulas which generalizes the Archimedean family. Similarly, Morillas (2005) proposed a method to obtain a variety of new copulas from a given d-copula. Both approaches coincide only for the particular subclass of...