Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/39301 
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dc.contributor.authorOkhrin, Ostapen
dc.date.accessioned2010-04-16-
dc.date.accessioned2010-08-26T11:56:55Z-
dc.date.available2010-08-26T11:56:55Z-
dc.date.issued2010-
dc.identifier.urihttp://hdl.handle.net/10419/39301-
dc.description.abstractThis 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.en
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2010,022en
dc.subject.jelC13en
dc.subject.jelC14en
dc.subject.jelC50en
dc.subject.ddc330en
dc.subject.keywordcopulaen
dc.subject.keywordmultivariate distributionen
dc.subject.keywordArchimedean copulaen
dc.subject.keywordGoFen
dc.subject.stwKopula (Mathematik)en
dc.subject.stwMultivariate Analyseen
dc.subject.stwZeitreihenanalyseen
dc.subject.stwStatistischer Testen
dc.subject.stwTheorieen
dc.titleFitting high-dimensional copulae to data-
dc.type|aWorking Paperen
dc.identifier.ppn623857928en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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