Testing goodness of fit for parametric families of copulas - Application to financial data

Communications in Statistics: Simulation and Computation

Volumn 34, Issue 4, 2005, Pages 1053-1068

  Dobrić, Jadran ^a   Schmid, Friedrich ^a  

^a UNIVERSITY OF COLOGNE   (Germany)

Author keywords

Chi square test of fit; Cook Johnson copula; Copulas; Daily asset returns; Frank copula; Gauss copula; Power of tests; t Copula

Indexed keywords

EID: 29144436657     PISSN: 03610918     EISSN: None     Source Type: Journal    
DOI: 10.1080/03610910500308685     Document Type: Article

References (9)