Analysis of multidimensional probability distributions with copula functions. III

Dean Fantazzini

Applied Econometrics, 2011, vol. 24, issue 4, 100-130

Abstract: The final part of the consultation series on copula functions is devoted to the description of copula selection methods to choose the copula model that provides the best fit for the empirical data at hand, as well as to the description of copula evaluation methods by using goodness-of-fit tests.

Keywords: copula; copula selection; test statistic; information criteria; Bayesian copula selection; copula evaluation; goodness-of-fit test; empirical analysis (search for similar items in EconPapers)
JEL-codes: C49 C69 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (9)

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