Omnibus test for covariate effects in conditional copula models
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DOI: 10.1016/j.jmva.2021.104804
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Cited by:
- Zongwu Cai & Guannan Liu & Wei Long & Xuelong Luo, 2024. "Semiparametric Conditional Mixture Copula Models with Copula Selection," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202401, University of Kansas, Department of Economics, revised Jan 2024.
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Keywords
Asymptotic distribution; Conditional copula; Simplifying assumption; Testing for parametric effects; U-statistics;All these keywords.
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