Add to ORKGThe asymptotic behavior of the empirical copula constructed from residuals of stochastic volatility models is studied. It is shown that if the stochastic volatility matrix is diagonal, then the empirical copula process behaves like if the parameters were known, a remarkable property. However, this is not true in general. Applications for goodness-of-fit and detection of structural change in the copula of the innovations are discussed.Non UBCUnreviewedAuthor affiliation: HEC MontréalFacult
Weak convergence of the empirical copula process is shown to hold under the assumption that the firs...
The empirical beta copula is a simple but effective smoother of the empirical copula. Because it is ...
The empirical beta copula is a simple but effective smoother of the empirical copula. Because it is ...
In this paper, we study the asymptotic behavior of the sequential empirical process and the sequent...
We propose a new dynamic copula model in which the parameter characterizing dependence follows an au...
We propose a new dynamic copula model where the parameter characterizing dependence follows an autor...
The empirical copula process plays a central role for statistical inference on copulas. The main pur...
A copula models the relationships between variables independently of their marginal distributions. W...
AbstractConditions are given under which the empirical copula process associated with a random sampl...
Recently Chen and Fan (2003a) introduced a new class of semiparametric copula-based multivariate dyn...
We define a copula process which describes the dependencies between arbitrarily many random variable...
We define a copula process which describes the dependencies between arbitrarily many random variable...
Conditions are given under which the empirical copula process associated with a random sample from a...
We propose new fluctuation tests for detecting structural breaks in factor copula models and analyse...
We propose a new platform of goodness-of-fit tests for copulas, based on empirical copula processes ...
Weak convergence of the empirical copula process is shown to hold under the assumption that the firs...
The empirical beta copula is a simple but effective smoother of the empirical copula. Because it is ...
The empirical beta copula is a simple but effective smoother of the empirical copula. Because it is ...
In this paper, we study the asymptotic behavior of the sequential empirical process and the sequent...
We propose a new dynamic copula model in which the parameter characterizing dependence follows an au...
We propose a new dynamic copula model where the parameter characterizing dependence follows an autor...
The empirical copula process plays a central role for statistical inference on copulas. The main pur...
A copula models the relationships between variables independently of their marginal distributions. W...
AbstractConditions are given under which the empirical copula process associated with a random sampl...
Recently Chen and Fan (2003a) introduced a new class of semiparametric copula-based multivariate dyn...
We define a copula process which describes the dependencies between arbitrarily many random variable...
We define a copula process which describes the dependencies between arbitrarily many random variable...
Conditions are given under which the empirical copula process associated with a random sample from a...
We propose new fluctuation tests for detecting structural breaks in factor copula models and analyse...
We propose a new platform of goodness-of-fit tests for copulas, based on empirical copula processes ...
Weak convergence of the empirical copula process is shown to hold under the assumption that the firs...
The empirical beta copula is a simple but effective smoother of the empirical copula. Because it is ...
The empirical beta copula is a simple but effective smoother of the empirical copula. Because it is ...