Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas

S.U. Can, John Einmahl, E.V. Khmaladze and Roger Laeven

No 2014-041, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: Extreme value theory; tail dependence; goodness-of-fit testing; martingale transformation (search for similar items in EconPapers)
Date: 2014
New Economics Papers: this item is included in nep-ecm and nep-rmg
References: Add references at CitEc
Citations:

Downloads: (external link)
https://repository.tilburguniversity.edu/bitstream ... 57d7959c5e9/download (application/pdf)

Related works:
Working Paper: Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tiu:tiucen:0ec969ab-46e6-4228-b44d-40d52aaf3aab

Access Statistics for this paper

More papers in Discussion Paper from Tilburg University, Center for Economic Research
Bibliographic data for series maintained by Richard Broekman ().