Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/39301 
Autor:innen: 
Erscheinungsjahr: 
2010
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2010,022
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
This paper make an overview of the copula theory from a practical side. We consider different methods of copula estimation and different Goodness-of-Fit tests for model selection. In the GoF section we apply Kolmogorov-Smirnov and Cramer-von-Mises type tests and calculate power of these tests under different assumptions. Novating in this paper is that all the procedures are done in dimensions higher than two, and in comparison to other papers we consider not only simple Archimedean and Gaussian copulae but also Hierarchical Archimedean Copulae. Afterwards we provide an empirical part to support the theory.
Schlagwörter: 
copula
multivariate distribution
Archimedean copula
GoF
JEL: 
C13
C14
C50
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
838.06 kB





Publikationen in EconStor sind urheberrechtlich geschützt.