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Goodness-of-fit tests for copulas of multivariate time series

Rémillard, Bruno - In: Econometrics : open access journal 5 (2017) 1, pp. 1-23

In this paper, we study the asymptotic behavior of the sequential empirical process and the sequential empirical copula process, both constructed from residuals of multivariate stochastic volatility models. Applications for the detection of structural changes and specification tests of the...

Persistent link: https://www.econbiz.de/10011654178

Empirical evidence on the dependence of credit default swaps and equity prices

Dupuis, Debbie; Jacquier, Eric; Papageorgiou, Nicolas; … - In: The journal of futures markets 29 (2009) 8, pp. 695-712

Persistent link: https://www.econbiz.de/10003899237

Goodness-of-fit tests for copulas : a review and a power study

Genest, Christian; Rémillard, Bruno; Beaudoin, David - In: Insurance / Mathematics & economics 44 (2009) 2, pp. 199-213

Persistent link: https://www.econbiz.de/10009517643

Testing for equality between two copulas

Rémillard, Bruno (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003354351

Copula-based credit rating model for evaluating basket credit derivatives

Papageorgiou, Nicolas; Rémillard, Bruno; Gardère, Jean-Luc - In: The handbook of credit portfolio management, (pp. 163-180). 2009

Persistent link: https://www.econbiz.de/10003778231