Goodness-of-Fit Tests for Copulas of Multivariate Time Series
نویسندگان
چکیده
منابع مشابه
Goodness-of-Fit Tests for Copulas of Multivariate Time Series
In this paper, we study the asymptotic behavior of the sequential empirical process and the sequential empirical copula process, both constructed from residuals of multivariate stochastic volatility models. Applications for the detection of structural changes and specification tests of the distribution of innovations are discussed. It is also shown that if the stochastic volatility matrices are...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2010
ISSN: 1556-5068
DOI: 10.2139/ssrn.1729982