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Document type:
Zeitschriftenaufsatz 
Author(s):
Jaser, M.; Haug, S.; Min, A. 
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 
Journal title:
Dependence Modeling 
Year:
2017 
Journal issue:
Pages contribution:
330–353 
Reviewed:
ja 
Language:
en 
TUM Institution:
Lehrstuhl für Finanzmathematik