Have a personal or library account? Click to login
Multidimensional Copula Models for Parallel Development of the Us Bond Market Indices Cover

Multidimensional Copula Models for Parallel Development of the Us Bond Market Indices

Open Access
|Mar 2018

References

  1. [1] BELGORODSKI, N.: Selecting Pair-Copula Families for Regular Vines with Application to the Multivariate Analysis of European Stock Market Indices. Diploma thesis, Technische Universitaet Muenchen, http://mediatum.ub.tum.de/?id=1079284
  2. [2] CLARKE, K. A.: A simple distribution-free test for nonnested model selection, Political Analysis 15 (2007), 347-363.10.1093/pan/mpm004
  3. [3] FERREIRA, M.: Nonparametric estimation of the Tail-dependence coefficient, REVSTAT 11 (2013), 1-16.
  4. [4] FRANSES, P. H.-DIJK, D.: Non-Linear Time Series Models in Empirical Finance. Cambridge University Press, Cambridge, 2000.10.1017/CBO9780511754067
  5. [5] GENEST, C.-RIVEST, L.-P.: Statistical inference procedures for bivariate Archimedean copulas, J. Amer. Statist. Assoc. 88 (1993), no. 423, 1034-1043.
  6. [6] GENEST, C.-R´EMILLARD, B.-BEAUDOIN, D.: Goodness-of-fit tests for copulas: A review and a power study, Insur. Math. Econ. 44 (2009), 199-213.10.1016/j.insmatheco.2007.10.005
  7. [7] HOFERT, M.-KOJADINOVIC, I.-MAECHLER, M.-YAN, J.: Copula: Multivariate Dependence with Copulas. R package version 0.999-13, 2015. http://CRAN.R-project.org/package=copula
  8. [8] NELSEN, R. B.: An Introduction to Copulas (2nd ed.), in: Springer Ser. Stat., Springer--Verlag, New York, 2006.
  9. [9] R CORE TEAM.: R: A language and environment for statistical computing, R Foundation for Statistical Computing, Vienna, Austria, 2015. https://www.R-project.org/
  10. [10] SCHEPSMEIER, U. ET AL.: VineCopula: statistical inference of vine copulas, R package version 1.6-1, 2015. http://CRAN.R-project.org/package=VineCopula
  11. [11] SKLAR, A.: Fonctions de r´epartition a n dimensions et leurs marges, Publ. Inst. Statist. Univ. Paris 8 (1959), 229-231.
  12. [12] VUONG, Q. H.: Ratio tests for model selection and non-nested hypotheses, Econometrica 57 (1989), 307-333.10.2307/1912557
DOI: https://doi.org/10.1515/tmmp-2017-0014 | Journal eISSN: 1338-9750 | Journal ISSN: 12103195
Language: English
Page range: 61 - 73
Submitted on: Apr 13, 2017
|
Published on: Mar 23, 2018
In partnership with: Paradigm Publishing Services
Publication frequency: 3 issues per year
Keywords:

© 2018 Jozef Komorník, Magdaléna Komorníková, Tomáš Bacigál, Cuong Nguyen, published by Slovak Academy of Sciences, Mathematical Institute
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.