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- Document type:
- Zeitschriftenaufsatz
- Author(s):
- Jaser, M.; Haug, S.; Min, A.
- Non-TUM Co-author(s):
- nein
- Cooperation:
- -
- Title:
- A simple non-parametric goodness-of-fit test for elliptical copulas
- Abstract:
- In this paper, we propose a simple non-parametric goodness-of-fit test for elliptical copulas of any dimension. It is based on the equality of Kendall’s tau and Blomqvist’s beta for all bivariate margins. Nominal level and power of the proposed test are investigated in a Monte Carlo study. An empirical application illustrates our goodness-of-fit test at work.
- Keywords:
- Blomqvist’s beta, elliptical copulas, goodness-of-fit test, Kendall’s tau
- Intellectual Contribution:
- Discipline-based Research
- Journal title:
- Dependence Modeling
- Year:
- 2017
- Journal issue:
- 5
- Pages contribution:
- 330–353
- Reviewed:
- ja
- Language:
- en
- Fulltext / DOI:
- doi:10.1515/demo-2017-0020
- TUM Institution:
- Lehrstuhl für Finanzmathematik
- Judgement review:
- 0
- Peer reviewed:
- Ja
- Commissioned:
- not commissioned
- Interdisciplinarity:
- Nein
- Mission statement:
- ;
- Ethics and Sustainability:
- Nein
BibTeX
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Occurrences:
- mediaTUM GesamtbestandHochschulbibliographie2017FakultätenMathematikM13 Lehrstuhl für Finanzmathematik (Prof. Zagst)
- mediaTUM GesamtbestandEinrichtungenSchools TUM School of Computation, Information and TechnologyDepartmentsMathematicsLehrstuhl für Finanzmathematik (Prof. Zagst)Journal PapersMin, A.