Goodness-of-fit tests for multivariate copula-based time series models
In recent years, stationary time series models based on copula functions became increasingly popular in econometrics to model nonlinear temporal and cross-sectional dependencies. Within these models, we consider the problem of testing the goodness-of-fit of the parametric form of the underlying copu...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Dokumenttyp: | Article (Journal) |
| Sprache: | Englisch |
| Veröffentlicht: |
2017
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| In: |
Econometric theory
Year: 2017, Jahrgang: 33, Heft: 2, Pages: 292-330 |
| ISSN: | 1469-4360 |
| DOI: | 10.1017/S0266466615000419 |
| Online-Zugang: | Verlag, lizenzpflichtig, Volltext: https://doi.org/10.1017/S0266466615000419 Verlag, lizenzpflichtig, Volltext: https://www.cambridge.org/core/journals/econometric-theory/article/goodnessoffit-tests-for-multivariate-copulabased-time-series-models/6AFA25B448051861C9CCE1C78E3A3EAC 
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| Verfasserangaben: | Betina Berghaus and Axel Bücher |
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