References
- Berg , D. 2009 . Copula goodness-of-fit testing: An overview and power comparison . Eur. J. Finance , 15 ( 7–8 ) : 675 – 701 . (doi:10.1080/13518470802697428)
- Berg , D. and Bakken , H. 2007 . A copula goodness-of-fit approach based on the conditional probability integral transform Working paper
- Berg , D. and Quessy , J.-F. 2009 . Local power analysis of goodness-of-fit tests for copulas . Scand. J. Statist. , 36 : 389 – 412 . (doi:10.1111/j.1467-9469.2009.00643.x)
- Breymann , W. , Dias , A. and Embrechts , P. 2003 . Dependence structures for multivariate high frequency data in finance . Quant. Finance , 3 ( 1 ) : 1 – 14 . (doi:10.1080/713666155)
- Bücher , A. , Dette , H. and Volgushev , S. 2012 . A test for Archimedeanity in bivariate copula models . J. Multivariate Anal. , 110 : 121 – 132 . (doi:10.1016/j.jmva.2012.01.026)
- Charpentier , A. and Segers , J. 2007 . Lower tail dependence for Archimedean copulas: Characterizations and pitfalls . Insurance Math. Econ. , 40 ( 3 ) : 525 – 532 . (doi:10.1016/j.insmatheco.2006.08.004)
- Chen , X. and Fan , Y. 2005 . Pseudo-likelihood ratio tests for semiparametric multivariate copula model selection . Canad. J. Statist. , 33 : 389 – 414 . (doi:10.1002/cjs.5540330306)
- Chen , X. , Fan , Y. and Patton , A. 2004 . Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates , Financial Markets Group, London School of Economics . Discussion Paper 483
- Cherubini , U. , Luciano , E. and Vecchiato , W. 2004 . Copula Methods in Finance , Chichester : Wiley .
- Crook , J. and Moreira , F. 2011 . Checking for asymmetric default dependence in a credit card portfolio: A copula approach . J. Empir. Finance , 18 ( 4 ) : 728 – 742 . (doi:10.1016/j.jempfin.2011.05.005)
- Dobric` , J. and Schmid , F. 2005 . Testing goodness of fit for parametric families of copulas – application to financial data . Comm. Statist. Simulation Comput. , 34 : 1053 – 1068 . (doi:10.1080/03610910500308685)
- Fermanian , J.-D. 2005 . Goodness of fit tests for copulas . J. Multivariate Anal. , 95 : 119 – 152 . (doi:10.1016/j.jmva.2004.07.004)
- Fermanian , J.-D. , Radulovic , D. and Wegkamp , M. 2004 . Weak convergence of empirical copula processes . Bernoulli , 10 ( 5 ) : 847 – 860 . (doi:10.3150/bj/1099579158)
- Frees , E. W. and Valdez , E. A. 1998 . Understanding relationships using copulas . N. Am. Actuar. J. , 2 ( 1 ) : 1 – 25 .
- Genest , C. , Ghoudi , K. and Rivest , L.-P. 1995 . A semiparametric estimation procedure of dependence parameters in multivariate families of distributions . Biometrika , 82 ( 3 ) : 543 – 552 . (doi:10.1093/biomet/82.3.543)
- Genest , C. and MacKay , J. 1986 . The joy of copulas: Bivariate distributions with uniform marginals . Amer. Statist. , 40 ( 4 ) : 280 – 283 .
- Genest , C. , Quessy , J.-F. and Rémillard , B. 2006 . Goodness-of-fit procedures for copula models based on the probability integral transformation . Scand. J. Statist. , 33 ( 2 ) : 337 – 366 . (doi:10.1111/j.1467-9469.2006.00470.x)
- Genest , C. and Rémillard , B. 2008 . Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models . Ann. Inst. H. Poincaré Probab. Statist. , 44 ( 6 ) : 1096 – 1127 . (doi:10.1214/07-AIHP148)
- Genest , C. , Rémillard , B. and Beaudoin , D. 2008 . Goodness-of-fit tests for copulas: A review and a power study . Insurance Math. Econ. , 44 ( 2 ) : 199 – 213 . (doi:10.1016/j.insmatheco.2007.10.005)
- Genest , C. and Rivest , L.-P. 1993 . Statistical inference procedures for bivariate Archimedean copulas . J. Amer. Statist. Assoc. , 88 ( 423 ) : 1034 – 1043 . (doi:10.1080/01621459.1993.10476372)
- Hofert , M. 2008 . Sampling Archimedean copulas . Comput. Statist. Data Anal. , 52 ( 12 ) : 5163 – 5174 . (doi:10.1016/j.csda.2008.05.019)
- Jaworski , P. 2010 . “ Testing Archimedeanity ” . In Combining Soft Computing and Statistical Methods in Data Analysis, Advances in Intelligent and Soft Computing , Edited by: Borgelt , C. , Rodríuez , G. , Trutschnig , W. , Lubiano , M. , Angeles Gil , M. , Grzegorzewski , P. and Hryniewicz , O. Vol. 77 , 353 – 360 . Berlin : Springer .
- Joe , H. 1997 . Multivariate Models and Dependence Concepts , London : Chapman and Hall .
- Joe , H. and Xu , J. 1996 . The estimation method of inference functions for margins for multivariate models , Department of Statistics, University of British Columbia . Tech. Rep. No. 166
- Ling , C.-H. 1965 . Representation of associative functions . Publ. Math. Debrecen , 12 : 189 – 212 .
- Malevergne , Y. and Sornette , D. 2003 . Testing the Gaussian copula hypothesis for financial asset dependences . Quant. Finance , 3 : 231 – 250 . (doi:10.1088/1469-7688/3/4/301)
- Mashal , R. and Zeevi , A. 2002 . “ Beyond correlation: Extreme co-movements between financial assets ” . Columbia University . Working Paper
- McNeil , A. J. and Neslehová , J. 2009 . Multivariate Archimedean copulas, d-monotone functions and l 1-norm symmetric distributions . Ann. Statist. , 37 : 3059 – 3097 . (doi:10.1214/07-AOS556)
- Nelsen , R. B. 2006 . An Introduction to Copulas , 2 , New York : Springer .
- Okhrin , O. , Okhrin , Y. and Schmid , W. 2013 . On the structure and estimation of hierarchical Archimedean copulas . J. Econometrics , 173 : 189 – 204 . (doi:10.1016/j.jeconom.2012.12.001)
- Savu , C. and Trede , M. 2008 . Goodness-of-fit tests for parametric families of Archimedean copulas . Quant. Finance , 8 ( 2 ) : 109 – 116 . (doi:10.1080/14697680701207639)
- Savu , C. and Trede , M. 2010 . Hierarchies of Archimedean copulas . Quant. Finance , 10 : 295 – 304 . (doi:10.1080/14697680902821733)
- Wang , W. and Wells , M. T. 2000 . Model selection and semiparametric inference for bivariate failure-time data . J. Amer. Statist. Assoc. , 95 : 62 – 72 . (doi:10.1080/01621459.2000.10473899)
- Whelan , N. 2004 . Sampling from Archimedean copulas . Quant. Finance , 4 ( 3 ) : 339 – 352 . (doi:10.1088/1469-7688/4/3/009)
- Wu , C.-C. and Liang , S.-S. 2011 . The economic value of range-based covariance between stock and bond returns with dynamic copulas . J. Empir. Finance , 18 ( 4 ) : 711 – 727 . (doi:10.1016/j.jempfin.2011.05.004)