Goodness-of-fit test for tail copulas modeled by elliptical copulas

Deyuan Li and Liang Peng

Statistics & Probability Letters, 2009, vol. 79, issue 8, 1097-1104

Abstract: Modeling and estimating a tail copula play an important role in forecasting rare events. Due to their easy simulation, elliptical copulas have been employed in risk management. Recently, Klppelberg, [Klppelber, C., Kuhn, G., Peng, L., 2007. Estimating the tail dependence function of an elliptical distribution. Bernoulli 13 (1), 229-251; Klppelberg, C., Kuhn, G., Peng, L., 2008. Semi-parametric models for the multivariate tail dependence function--the asymptotically dependent case. Scandinavian Journal of Statistics 35, 701-718] proposed to model a tail copula by an elliptical copula, which results in an explicit parametric model for the tail copula. In this paper, we propose a goodness-of-fit test for such a parametric model and some real data analyses show that this fitting cannot be rejected. Therefore we demonstrate the practical applicability of this model.

Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(08)00580-4
Full text for ScienceDirect subscribers only

Related works:
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:eee:stapro:v:79:y:2009:i:8:p:1097-1104

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().