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Goodness-of-fit tests for multivariate copula-based time series models

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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...

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Bibliographic Details
Main Authors: Berghaus, Betina (Author) , Bücher, Axel (Author)
Format: Article (Journal)
Language:English
Published: 2017
In: Econometric theory
Year: 2017, Volume: 33, Issue: 2, Pages: 292-330
ISSN:1469-4360
DOI:10.1017/S0266466615000419
Online Access: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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Author Notes:Betina Berghaus and Axel Bücher
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Goodness-of-fit tests for multivariate copula-based time series models by Berghaus, Betina (Author) , Bücher, Axel (Author) ,


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