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Bruno Remillard

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Chantal Labb'e & Bruno R'emillard & Jean-Franc{c}ois Renaud, 2010. "A simple discretization scheme for nonnegative diffusion processes, with applications to option pricing," Papers 1011.3247, arXiv.org.

    Cited by:

    1. Cao, Jiling & Lian, Guanghua & Roslan, Teh Raihana Nazirah, 2016. "Pricing variance swaps under stochastic volatility and stochastic interest rate," Applied Mathematics and Computation, Elsevier, vol. 277(C), pages 72-81.

  2. Bruno Rémillard & Olivier Scaillet, 2007. "Testing For Equality Between Two Copulas," Swiss Finance Institute Research Paper Series 07-24, Swiss Finance Institute.

    Cited by:

    1. Kojadinovic, Ivan & Yan, Jun, 2010. "Nonparametric rank-based tests of bivariate extreme-value dependence," Journal of Multivariate Analysis, Elsevier, vol. 101(9), pages 2234-2249, October.
    2. Dmitry Arkhangelsky, 2019. "Dealing with a Technological Bias: The Difference-in-Difference Approach," Working Papers wp2019_1903, CEMFI.
    3. Jean-David Fermanian, 2012. "An overview of the goodness-of-fit test problem for copulas," Papers 1211.4416, arXiv.org.
    4. Song, Zhi & Mukherjee, Amitava & Zhang, Jiujun, 2021. "Some robust approaches based on copula for monitoring bivariate processes and component-wise assessment," European Journal of Operational Research, Elsevier, vol. 289(1), pages 177-196.
    5. Bücher, Axel & Kojadinovic, Ivan & Rohmer, Tom & Segers, Johan, 2014. "Detecting changes in cross-sectional dependence in multivariate time series," Journal of Multivariate Analysis, Elsevier, vol. 132(C), pages 111-128.
    6. Jean-François Plante, 2017. "Rank correlation under categorical confounding," Journal of Statistical Distributions and Applications, Springer, vol. 4(1), pages 1-19, December.
    7. Christian Genest & Johanna Nešlehová & Jean-François Quessy, 2012. "Tests of symmetry for bivariate copulas," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(4), pages 811-834, August.
    8. Hobæk Haff, Ingrid & Segers, Johan, 2015. "Nonparametric estimation of pair-copula constructions with the empirical pair-copula," Computational Statistics & Data Analysis, Elsevier, vol. 84(C), pages 1-13.
    9. Brendan K. Beare & Juwon Seo, 2019. "Randomization tests of copula symmetry," Papers 1911.05307, arXiv.org.
    10. Tarik Bahraoui & Jean‐François Quessy, 2022. "Tests of multivariate copula exchangeability based on Lévy measures," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(3), pages 1215-1243, September.
    11. Bücher, Axel & Dette, Holger, 2010. "A note on bootstrap approximations for the empirical copula process," Statistics & Probability Letters, Elsevier, vol. 80(23-24), pages 1925-1932, December.
    12. Salim Bouzebda, 2023. "On Weak Convergence of the Bootstrap Copula Empirical Process with Random Resample Size," Stats, MDPI, vol. 6(1), pages 1-16, February.
    13. Bücher, Axel & Volgushev, Stanislav, 2013. "Empirical and sequential empirical copula processes under serial dependence," Journal of Multivariate Analysis, Elsevier, vol. 119(C), pages 61-70.
    14. Henry Penikas, 2016. "Copula-Based Univariate Time Series Structural Shift Identification Test," Papers 1609.05056, arXiv.org.
    15. Lu Lu & Sujit Ghosh, 2023. "Nonparametric Estimation of Multivariate Copula Using Empirical Bayes Methods," Mathematics, MDPI, vol. 11(20), pages 1-22, October.
    16. Bouezmarni, Taoufik & Rombouts, Jeroen V.K. & Taamouti, Abderrahim, 2010. "Asymptotic properties of the Bernstein density copula estimator for [alpha]-mixing data," Journal of Multivariate Analysis, Elsevier, vol. 101(1), pages 1-10, January.
    17. Bruno Rémillard & Olivier Scaillet, 2007. "Testing For Equality Between Two Copulas," Swiss Finance Institute Research Paper Series 07-24, Swiss Finance Institute.
    18. Graciela Sanroman & Guillermo Santos, 2021. "The joint distribution of income and wealth in Uruguay," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, vol. 40(83), pages 609-642, August.
    19. Kiriliouk, Anna & Segers, Johan & Tsukahara, Hideatsu, 2019. "On Some Resampling Procedures with the Empirical Beta Copula," LIDAM Discussion Papers ISBA 2019012, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    20. Bucher, Axel & Kojadinovic, Ivan, 2013. "A dependent multiplier bootstrap for the sequential empirical copula process under strong mixing," LIDAM Discussion Papers ISBA 2013029, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    21. Genest, Christian & Nešlehová, Johanna G. & Rémillard, Bruno, 2017. "Asymptotic behavior of the empirical multilinear copula process under broad conditions," Journal of Multivariate Analysis, Elsevier, vol. 159(C), pages 82-110.
    22. Bianchi, Pascal & Elgui, Kevin & Portier, François, 2023. "Conditional independence testing via weighted partial copulas," Journal of Multivariate Analysis, Elsevier, vol. 193(C).
    23. Bücher Axel, 2014. "A note on nonparametric estimation of bivariate tail dependence," Statistics & Risk Modeling, De Gruyter, vol. 31(2), pages 151-162, June.
    24. F. Marta L. Di Lascio & Andrea Menapace & Maurizio Righetti, 2018. "Joint and conditional dependence modeling of peak district heating demand and outdoor temperature: a copula-based approach," BEMPS - Bozen Economics & Management Paper Series BEMPS53, Faculty of Economics and Management at the Free University of Bozen.
    25. Bormann, Carsten & Schienle, Melanie, 2019. "Detecting structural differences in tail dependence of financial time series," Working Paper Series in Economics 122, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
    26. Kojadinovic, Jean D. & Segers, Johan & Yan, Yun, 2011. "Large-sample tests of extreme-value dependence for multivariate copulas," LIDAM Discussion Papers ISBA 2011012, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    27. Nasri, Bouchra R. & Rémillard, Bruno N. & Bahraoui, Tarik, 2022. "Change-point problems for multivariate time series using pseudo-observations," Journal of Multivariate Analysis, Elsevier, vol. 187(C).
    28. Nguyen, Quynh Nga & Bedoui, Rihab & Majdoub, Najemeddine & Guesmi, Khaled & Chevallier, Julien, 2020. "Hedging and safe-haven characteristics of Gold against currencies: An investigation based on multivariate dynamic copula theory," Resources Policy, Elsevier, vol. 68(C).
    29. Catalina Bolancé & Carlos Alberto Acuña, 2021. "A New Kernel Estimator of Copulas Based on Beta Quantile Transformations," Mathematics, MDPI, vol. 9(10), pages 1-16, May.
    30. Boente, Graciela & Cao, Ricardo & González Manteiga, Wenceslao & Rodriguez, Daniela, 2013. "Testing in generalized partially linear models: A robust approach," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 203-212.
    31. Kojadinovic, Ivan & Rohmer, Tom & Segers, Johan, 2013. "Detecting changes in cross-sectional dependence in multivariate time series," LIDAM Discussion Papers ISBA 2013051, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    32. Juwon Seo, 2018. "Randomization Tests for Equality in Dependence Structure," Papers 1811.02105, arXiv.org.
    33. Bücher, Axel & Ruppert, Martin, 2013. "Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 208-229.
    34. Christian Genest & Johanna Nešlehová, 2014. "On tests of radial symmetry for bivariate copulas," Statistical Papers, Springer, vol. 55(4), pages 1107-1119, November.
    35. Bedoui, Rihab & Guesmi, Khaled & Kalai, Saoussen & Porcher, Thomas, 2020. "Diamonds versus precious metals: What gleams most against USD exchange rates?," Finance Research Letters, Elsevier, vol. 34(C).
    36. Jäschke, Stefan, 2014. "Estimation of risk measures in energy portfolios using modern copula techniques," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 359-376.
    37. Billio Monica & Frattarolo Lorenzo & Guégan Dominique, 2021. "Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case," Dependence Modeling, De Gruyter, vol. 9(1), pages 43-61, January.
    38. Jean-David Fermanian & Dragan Radulovic & Marten Wegkamp, 2013. "A Asymptotic Total Variation Test for Copulas," Working Papers 2013-25, Center for Research in Economics and Statistics.
    39. Fuchs, Sebastian & Tschimpke, Marco, 2024. "A novel positive dependence property and its impact on a popular class of concordance measures," Journal of Multivariate Analysis, Elsevier, vol. 200(C).
    40. Berghaus, Betina & Bücher, Axel, 2014. "Nonparametric tests for tail monotonicity," Journal of Econometrics, Elsevier, vol. 180(2), pages 117-126.
    41. Boris Brodsky & Henry Penikas & Irina Safaryan, 2012. "Copula structural shift identification," HSE Working papers WP BRP 05/FE/2012, National Research University Higher School of Economics.
    42. Tarik Bahraoui & Nikolai Kolev, 2021. "New Measure of the Bivariate Asymmetry," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(1), pages 421-448, February.
    43. Kojadinovic, Ivan, 2017. "Some copula inference procedures adapted to the presence of ties," Computational Statistics & Data Analysis, Elsevier, vol. 112(C), pages 24-41.
    44. Brodsky, Boris & Penikas, Henry & Safaryan, Irina, 2009. "Detection of Structural Breaks in Copula Models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 16(4), pages 3-15.
    45. Kojadinovic, Ivan & Stemikovskaya, Kristina, 2019. "Subsampling (weighted smooth) empirical copula processes," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 704-723.
    46. Quessy, Jean-François & Éthier, François, 2012. "Cramér–von Mises and characteristic function tests for the two and k-sample problems with dependent data," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 2097-2111.
    47. Bücher, Axel & Dette, Holger & Volgushev, Stanislav, 2012. "A test for Archimedeanity in bivariate copula models," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 121-132.
    48. C Genest & J G Nešlehová & B Rémillard & O A Murphy, 2019. "Testing for independence in arbitrary distributions," Biometrika, Biometrika Trust, vol. 106(1), pages 47-68.
    49. Bücher Axel & Jaser Miriam & Min Aleksey, 2021. "Detecting departures from meta-ellipticity for multivariate stationary time series," Dependence Modeling, De Gruyter, vol. 9(1), pages 121-140, January.
    50. Derumigny Alexis & Fermanian Jean-David, 2017. "About tests of the “simplifying” assumption for conditional copulas," Dependence Modeling, De Gruyter, vol. 5(1), pages 154-197, August.
    51. Quessy, Jean-François, 2021. "A Szekely–Rizzo inequality for testing general copula homogeneity hypotheses," Journal of Multivariate Analysis, Elsevier, vol. 186(C).
    52. Matthieu Garcin & Maxime L. D. Nicolas, 2024. "Nonparametric estimator of the tail dependence coefficient: balancing bias and variance," Statistical Papers, Springer, vol. 65(8), pages 4875-4913, October.
    53. Segers, Johan, 2012. "Nonparametric inference for max-stable dependence : Discussion of "Statistical Modelling of Spatial Extremes" by A. C. Davison, S. Padoan and M. Ribatet, to appear in Statistical Science," LIDAM Discussion Papers ISBA 2012012, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    54. Penikas, H., 2010. "Financial Applications of Copula-Models," Journal of the New Economic Association, New Economic Association, issue 7, pages 24-44.
    55. Axel Bücher & Ivan Kojadinovic, 2019. "A Note on Conditional Versus Joint Unconditional Weak Convergence in Bootstrap Consistency Results," Journal of Theoretical Probability, Springer, vol. 32(3), pages 1145-1165, September.
    56. Jean-François Quessy, 2019. "Consistent nonparametric tests for detecting gradual changes in the marginals and the copula of multivariate time series," Statistical Papers, Springer, vol. 60(3), pages 717-746, June.
    57. Seo, Juwon, 2018. "Tests of stochastic monotonicity with improved power," Journal of Econometrics, Elsevier, vol. 207(1), pages 53-70.
    58. Patton, Andrew, 2013. "Copula Methods for Forecasting Multivariate Time Series," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 899-960, Elsevier.

Articles

  1. Genest, Christian & Rémillard, Bruno & Beaudoin, David, 2009. "Goodness-of-fit tests for copulas: A review and a power study," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 199-213, April.

    Cited by:

    1. Saha, Kunal, 2018. "An investigation into the dependence structure of major cryptocurrencies," EconStor Preprints 181878, ZBW - Leibniz Information Centre for Economics.
    2. Okhrin, Ostap & Ristig, Alexander, 2014. "Hierarchical Archimedean Copulae: The HAC Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 58(i04).
    3. Gideon Boako & Aviral Kumar Tiwari & David Roubaud, 2019. "Vine copula-based dependence and portfolio value-at-risk analysis of the cryptocurrency market," International Economics, CEPII research center, issue 158, pages 77-90.
    4. Pál Rakonczai & László Márkus & András Zempléni, 2012. "Autocopulas: Investigating the Interdependence Structure of Stationary Time Series," Methodology and Computing in Applied Probability, Springer, vol. 14(1), pages 149-167, March.
    5. Sehgal, Sanjay & Pandey, Piyush & Diesting, Florent, 2017. "Examining dynamic currency linkages amongst South Asian economies: An empirical study," Research in International Business and Finance, Elsevier, vol. 42(C), pages 173-190.
    6. Jie Huang & Haiming Zhou & Nader Ebrahimi, 2022. "Bayesian Bivariate Cure Rate Models Using Copula Functions," International Journal of Statistics and Probability, Canadian Center of Science and Education, vol. 11(3), pages 1-9, May.
    7. Benos, Nikos & Stavrakoudis, Athanassios, 2020. "Okun's Law: Copula-based Evidence from G7 Countries," MPRA Paper 103318, University Library of Munich, Germany.
    8. Lajmi Lakhal-Chaieb & Richard J. Cook & Xihong Lin, 2010. "Inverse Probability of Censoring Weighted Estimates of Kendall's τ for Gap Time Analyses," Biometrics, The International Biometric Society, vol. 66(4), pages 1145-1152, December.
    9. Andres Mauricio Molina Barreto & Naoyuki Ishimura, 2023. "Remarks on a copula‐based conditional value at risk for the portfolio problem," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 30(3), pages 150-170, July.
    10. Daniel Puig & Oswaldo Morales-Nápoles & Fatemeh Bakhtiari & Gissela Landa, 2017. "The accountability imperative for quantifiying the uncertainty of emission forecasts : evidence from Mexico," Working Papers hal-03389325, HAL.
    11. Can, S.U. & Einmahl, John & Laeven, R.J.A., 2017. "Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas," Other publications TiSEM feb9a064-2a9f-47d6-a02b-7, Tilburg University, School of Economics and Management.
    12. Qiao-feng Tan & Guo-hua Fang & Xin Wen & Xiao-hui Lei & Xu Wang & Chao Wang & Yi Ji, 2020. "Bayesian Stochastic Dynamic Programming for Hydropower Generation Operation Based on Copula Functions," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 34(5), pages 1589-1607, March.
    13. Daniel Berg & Jean‐François Quessy, 2009. "Local Power Analyses of Goodness‐of‐fit Tests for Copulas," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(3), pages 389-412, September.
    14. Richard C. Bradley & Richard A. Davis & Dimitris N. Politis, 2021. "Preface to the Murray Rosenblatt memorial special issue of JTSA," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(5-6), pages 495-498, September.
    15. Krauss, Christopher & Stübinger, Johannes, 2015. "Nonlinear dependence modeling with bivariate copulas: Statistical arbitrage pairs trading on the S&P 100," FAU Discussion Papers in Economics 15/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    16. Sarazin, Gabriel & Morio, Jérôme & Lagnoux, Agnès & Balesdent, Mathieu & Brevault, Loïc, 2021. "Reliability-oriented sensitivity analysis in presence of data-driven epistemic uncertainty," Reliability Engineering and System Safety, Elsevier, vol. 215(C).
    17. Samane Al-sadat Mousavi & Ali Dolati & Ali Dastbaravarde, 2024. "Some Results on Bivariate Squared Maximum Sharpe Ratio," Risks, MDPI, vol. 12(6), pages 1-17, May.
    18. Christine Amsler & Artem Prokhorov & Peter Schmidt, 2014. "Using Copulas to Model Time Dependence in Stochastic Frontier Models," Econometric Reviews, Taylor & Francis Journals, vol. 33(5-6), pages 497-522, August.
    19. Grover, Vaibhav, 2015. "Identifying Dependence Structure among Equities in Indian Markets using Copulas," MPRA Paper 66302, University Library of Munich, Germany.
    20. Bücher, Axel & Dette, Holger, 2010. "Some comments on goodness-of-fit tests for the parametric form of the copula based on L2-distances," Journal of Multivariate Analysis, Elsevier, vol. 101(3), pages 749-763, March.
    21. Arreola Hernandez, Jose & Hammoudeh, Shawkat & Nguyen, Duc Khuong & Al Janabi, Mazin A. M. & Reboredo, Juan Carlos, 2014. "Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach," MPRA Paper 73399, University Library of Munich, Germany, revised Aug 2016.
    22. Jin Zhang & Dietmar Maringer, 2010. "Asset Pair-Copula Selection with Downside Risk Minimization," Working Papers 037, COMISEF.
    23. Abdulhamid A. Alzaid & Weaam M. Alhadlaq, 2023. "A New Family of Archimedean Copulas: The Half-Logistic Family of Copulas," Mathematics, MDPI, vol. 12(1), pages 1-18, December.
    24. Bedoui, Rihab & Braiek, Sana & Guesmi, Khaled & Chevallier, Julien, 2019. "On the conditional dependence structure between oil, gold and USD exchange rates: Nested copula based GJR-GARCH model," Energy Economics, Elsevier, vol. 80(C), pages 876-889.
    25. Satish Kumar & Aviral K. Tiwari & Ibrahim D. Raheem & Qiang Ji, 2019. "Dependence risk analysis in energy, agricultural and precious metals commodities: A pair vine copula approach," Research Africa Network Working Papers 19/092, Research Africa Network (RAN).
    26. Gaißer, Sandra & Schmid, Friedrich, 2010. "On testing equality of pairwise rank correlations in a multivariate random vector," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2598-2615, November.
    27. Rossi, Eduardo & Santucci de Magistris, Paolo, 2013. "Long memory and tail dependence in trading volume and volatility," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 94-112.
    28. Jean-David Fermanian, 2012. "An overview of the goodness-of-fit test problem for copulas," Papers 1211.4416, arXiv.org.
    29. Tian, Chuyin & Huang, Guohe & Piwowar, Joseph M. & Yeh, Shin-Cheng & Lu, Chen & Duan, Ruixin & Ren, Jiayan, 2022. "Stochastic RCM-driven cooling and heating energy demand analysis for residential building," Renewable and Sustainable Energy Reviews, Elsevier, vol. 153(C).
    30. Nejc Bezak & Matjaž Mikoš & Mojca Šraj, 2014. "Trivariate Frequency Analyses of Peak Discharge, Hydrograph Volume and Suspended Sediment Concentration Data Using Copulas," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 28(8), pages 2195-2212, June.
    31. Yang Li & Fan Wang & Ye Shen & Yichen Qin & Jiesheng Si, 2022. "Selection of mixed copula for association modeling with tied observations," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(5), pages 1127-1180, December.
    32. Lu Yang & Shigeyuki Hamori, 2013. "Dependence structure among international stock markets: a GARCH--copula analysis," Applied Financial Economics, Taylor & Francis Journals, vol. 23(23), pages 1805-1817, December.
    33. Frédy Valé Manuel Pokou & Jules Sadefo Kamdem & François Benhmad, 2023. "Empirical Performance of an ESG Assets Portfolio from US Market," Post-Print hal-04312348, HAL.
    34. Grothe, Oliver & Schnieders, Julius, 2011. "Spatial dependence in wind and optimal wind power allocation: A copula-based analysis," Energy Policy, Elsevier, vol. 39(9), pages 4742-4754, September.
    35. Sehee Kim & Yi Li & Donna Spiegelman, 2016. "A semiparametric copula method for Cox models with covariate measurement error," Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data, Springer, vol. 22(1), pages 1-16, January.
    36. Jakob Kevin & Fischer Matthias, 2014. "Quantifying the impact of different copulas in a generalized CreditRisk+ framework An empirical study," Dependence Modeling, De Gruyter, vol. 2(1), pages 1-21.
    37. Franc{c}ois Dufresne & Enkelejd Hashorva & Gildas Ratovomirija & Youssouf Toukourou, 2016. "On bivariate lifetime modelling in life insurance applications," Papers 1601.04351, arXiv.org.
    38. Zhichao Zhang & Li Ding & Fan Zhang & Zhuang Zhang, 2015. "Optimal Currency Composition for China's Foreign Reserves: A Copula Approach," The World Economy, Wiley Blackwell, vol. 38(12), pages 1947-1965, December.
    39. Bücher, Axel & Kojadinovic, Ivan & Rohmer, Tom & Segers, Johan, 2014. "Detecting changes in cross-sectional dependence in multivariate time series," Journal of Multivariate Analysis, Elsevier, vol. 132(C), pages 111-128.
    40. Rihab Bedoui & Sana Braeik & Stéphane Goutte & Khaled Guesmi, 2018. "On the study of conditional dependence structure between oil, gold and USD exchange rates," Post-Print halshs-02148924, HAL.
    41. Osama Ahmed & Teresa Serra, 2015. "Economic analysis of the introduction of agricultural revenue insurance contracts in Spain using statistical copulas," Agricultural Economics, International Association of Agricultural Economists, vol. 46(1), pages 69-79, January.
    42. Righi, Marcelo Brutti & Ceretta, Paulo Sergio, 2013. "Estimating non-linear serial and cross-interdependence between financial assets," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 837-846.
    43. Catherine Bruneau & Alexis Flageollet & Zhun Peng, 2020. "Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios," Annals of Operations Research, Springer, vol. 284(1), pages 165-197, January.
    44. Yang, Lu & Yang, Lei & Ho, Kung-Cheng & Hamori, Shigeyuki, 2020. "Dependence structures and risk spillover in China’s credit bond market: A copula and CoVaR approach," Journal of Asian Economics, Elsevier, vol. 68(C).
    45. Aryal, Gaurab & Gabrielli, Maria F., 2020. "An empirical analysis of competitive nonlinear pricing," International Journal of Industrial Organization, Elsevier, vol. 68(C).
    46. Xiaobing Zhao & Xian Zhou, 2015. "Semiparametric models of longitudinal and time-to-event data with applications to HIV viral dynamics and CD4 counts," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(11), pages 2461-2477, November.
    47. Ostap Okhrin & Martin Odening & Wei Xu, 2013. "Systemic Weather Risk and Crop Insurance: The Case of China," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(2), pages 351-372, June.
    48. Choros-Tomczyk, Barbara & Härdle, Wolfgang Karl & Overbeck, Ludger, 2012. "Copula dynamics in CDOs," SFB 649 Discussion Papers 2012-032, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    49. Nasri, Bouchra R. & Rémillard, Bruno N. & Bouezmarni, Taoufik, 2019. "Semi-parametric copula-based models under non-stationarity," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 347-365.
    50. Aloui, Riadh & Aïssa, Mohamed Safouane Ben & Nguyen, Duc Khuong, 2011. "Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure?," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 130-141, January.
    51. Wu, Shaomin, 2014. "Construction of asymmetric copulas and its application in two-dimensional reliability modelling," European Journal of Operational Research, Elsevier, vol. 238(2), pages 476-485.
    52. Katarzyna Baran-Gurgul, 2022. "The Risk of Extreme Streamflow Drought in the Polish Carpathians—A Two-Dimensional Approach," IJERPH, MDPI, vol. 19(21), pages 1-27, October.
    53. Trabelsi, Nader, 2017. "Asymmetric tail dependence between oil price shocks and sectors of Saudi Arabia System," The Journal of Economic Asymmetries, Elsevier, vol. 16(C), pages 26-41.
    54. Zhang, Kong-Sheng & Lin, Jin-Guan & Xu, Pei-Rong, 2016. "A new class of copulas involving geometric distribution: Estimation and applications," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 1-10.
    55. Liu, Bin & Shi, Yimin & Ng, Hon Keung Tony & Shang, Xiangwen, 2021. "Nonparametric Bayesian reliability analysis of masked data with dependent competing risks," Reliability Engineering and System Safety, Elsevier, vol. 210(C).
    56. Sentana, Enrique & Amengual, Dante, 2015. "Is a normal copula the right copula?," CEPR Discussion Papers 10809, C.E.P.R. Discussion Papers.
    57. Shahid Latif & Slobodan P. Simonovic, 2023. "Trivariate Probabilistic Assessments of the Compound Flooding Events Using the 3-D Fully Nested Archimedean (FNA) Copula in the Semiparametric Distribution Setting," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 37(4), pages 1641-1693, March.
    58. Elisa Perrone & Andreas Rappold & Werner G. Müller, 2017. "$$D_s$$ D s -optimality in copula models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 26(3), pages 403-418, August.
    59. Jeungbo Shim & Eun-Joo Lee & Seung-Hwan Lee, 2010. "A Versatile Copula and Its Application to Risk Measures," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 9(3), pages 213-231, December.
    60. Boubaker, Heni & Zorgati, Mouna Ben Saad & Bannour, Nawres, 2021. "Interdependence between exchange rates: Evidence from multivariate analysis since the financial crisis to the COVID-19 crisis," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 592-608.
    61. Einolander, Johannes & Lahdelma, Risto, 2022. "Multivariate copula procedure for electric vehicle charging event simulation," Energy, Elsevier, vol. 238(PA).
    62. Cyprian Omari & Peter Mwita & Anthony Waititu, 2019. "Conditional Dependence Modelling with Regular Vine Copulas," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 8(1), pages 1-5.
    63. Xiangwei Zhao & Qian Gao & Yaojie Yue & Lian Duan & Shun Pan, 2018. "A System Analysis on Steppe Sustainability and Its Driving Forces—A Case Study in China," Sustainability, MDPI, vol. 10(1), pages 1-19, January.
    64. Luca Riccetti, 2013. "A copula–GARCH model for macro asset allocation of a portfolio with commodities," Empirical Economics, Springer, vol. 44(3), pages 1315-1336, June.
    65. Wang, Zong-Run & Chen, Xiao-Hong & Jin, Yan-Bo & Zhou, Yan-Ju, 2010. "Estimating risk of foreign exchange portfolio: Using VaR and CVaR based on GARCH–EVT-Copula model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4918-4928.
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  2. Rémillard, Bruno & Scaillet, Olivier, 2009. "Testing for equality between two copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(3), pages 377-386, March.
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  3. Genest, Christian & Ghoudi, Kilani & Remillard, Bruno, 2007. "Rank-Based Extensions of the Brock, Dechert, and Scheinkman Test," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 1363-1376, December.

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    5. Samuel Tabot ENOW, 2023. "A Non-linear Dependency Test for Market Efficiency: Evidence from International Stock Markets," Journal of Economics and Financial Analysis, Tripal Publishing House, vol. 7(1), pages 1-12.
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  4. Genest, Christian & Quessy, Jean-François & Rémillard, Bruno, 2006. "On the joint asymptotic behavior of two rank-based estimators of the association parameter in the gamma frailty model," Statistics & Probability Letters, Elsevier, vol. 76(1), pages 10-18, January.

    Cited by:

    1. Daniel Berg & Jean‐François Quessy, 2009. "Local Power Analyses of Goodness‐of‐fit Tests for Copulas," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(3), pages 389-412, September.
    2. Jean-David Fermanian, 2012. "An overview of the goodness-of-fit test problem for copulas," Papers 1211.4416, arXiv.org.
    3. Kojadinovic, Ivan & Yan, Jun, 2010. "Comparison of three semiparametric methods for estimating dependence parameters in copula models," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 52-63, August.
    4. Lajmi Lakhal & Louis-Paul Rivest & Belkacem Abdous, 2008. "Estimating Survival and Association in a Semicompeting Risks Model," Biometrics, The International Biometric Society, vol. 64(1), pages 180-188, March.
    5. Nasri, Bouchra R., 2022. "Tests of serial dependence for multivariate time series with arbitrary distributions," Journal of Multivariate Analysis, Elsevier, vol. 192(C).
    6. Fantazzini, Dean, 2011. "Analysis of multidimensional probability distributions with copula functions. III," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 24(4), pages 100-130.

  5. Christian Genest & Jean‐François Quessy & Bruno Rémillard, 2006. "Goodness‐of‐fit Procedures for Copula Models Based on the Probability Integral Transformation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 33(2), pages 337-366, June.

    Cited by:

    1. Pál Rakonczai & László Márkus & András Zempléni, 2012. "Autocopulas: Investigating the Interdependence Structure of Stationary Time Series," Methodology and Computing in Applied Probability, Springer, vol. 14(1), pages 149-167, March.
    2. Can, S.U. & Einmahl, John & Laeven, R.J.A., 2017. "Asymptotically Distribution-Free Goodness-of-Fit Testing for Copulas," Other publications TiSEM feb9a064-2a9f-47d6-a02b-7, Tilburg University, School of Economics and Management.
    3. Daniel Berg & Jean‐François Quessy, 2009. "Local Power Analyses of Goodness‐of‐fit Tests for Copulas," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(3), pages 389-412, September.
    4. Stefan Mittnik & Sandra Paterlini & Tina Yener, 2011. "Operational–risk Dependencies and the Determination of Risk Capital," Center for Economic Research (RECent) 070, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    5. Steffen Grønneberg & Nils Lid Hjort, 2014. "The Copula Information Criteria," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(2), pages 436-459, June.
    6. Abdulhamid A. Alzaid & Weaam M. Alhadlaq, 2023. "A New Family of Archimedean Copulas: The Half-Logistic Family of Copulas," Mathematics, MDPI, vol. 12(1), pages 1-18, December.
    7. Garcia-Jorcano, Laura & Benito, Sonia, 2020. "Studying the properties of the Bitcoin as a diversifying and hedging asset through a copula analysis: Constant and time-varying," Research in International Business and Finance, Elsevier, vol. 54(C).
    8. Jean-David Fermanian, 2012. "An overview of the goodness-of-fit test problem for copulas," Papers 1211.4416, arXiv.org.
    9. Rezapour, Mohsen & Alamatsaz, Mohammad Hossein, 2014. "Stochastic comparison of lifetimes of two (n−k+1)-out-of-n systems with heterogeneous dependent components," Journal of Multivariate Analysis, Elsevier, vol. 130(C), pages 240-251.
    10. Lambert, Philippe, 2007. "Archimedean copula estimation using Bayesian splines smoothing techniques," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6307-6320, August.
    11. Qu, Xiaomei & Zhou, Jie & Shen, Xiaojing, 2010. "Archimedean copula estimation and model selection via l1-norm symmetric distribution," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 406-414, April.
    12. Aryal, Gaurab & Gabrielli, Maria F., 2020. "An empirical analysis of competitive nonlinear pricing," International Journal of Industrial Organization, Elsevier, vol. 68(C).
    13. Hafner, Christian & Manner H., 2012. "Dynamic stochastic copula models: Estimation, inference and applications," LIDAM Reprints ISBA 2012022, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    14. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2010. "Out-of-sample comparison of copula specifications in multivariate density forecasts," Post-Print hal-00732675, HAL.
    15. Elisa Luciano & Jaap Spreeuw & Elena Vigna, 2007. "Modelling Stochastic Mortality for Dependent Lives," CeRP Working Papers 58, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    16. Charpentier, Arthur & Segers, Johan, 2008. "Convergence of Archimedean copulas," Statistics & Probability Letters, Elsevier, vol. 78(4), pages 412-419, March.
    17. Härdle, Wolfgang Karl & Okhrin, Ostap & Okhrin, Yarema, 2008. "Modeling dependencies in finance using copulae," SFB 649 Discussion Papers 2008-043, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    18. Hussain, Saiful Izzuan & Li, Steven, 2018. "The dependence structure between Chinese and other major stock markets using extreme values and copulas," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 421-437.
    19. Boubaker, Heni & Zorgati, Mouna Ben Saad & Bannour, Nawres, 2021. "Interdependence between exchange rates: Evidence from multivariate analysis since the financial crisis to the COVID-19 crisis," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 592-608.
    20. Scaillet, Olivier, 2007. "Kernel-based goodness-of-fit tests for copulas with fixed smoothing parameters," Journal of Multivariate Analysis, Elsevier, vol. 98(3), pages 533-543, March.
    21. Massimo Caccia & Bruno R'emillard, 2017. "Option Pricing and Hedging for Discrete Time Autoregressive Hidden Markov Model," Papers 1707.02019, arXiv.org.
    22. Shyamal Ghosh & Prajamitra Bhuyan & Maxim Finkelstein, 2022. "On a bivariate copula for modeling negative dependence: application to New York air quality data," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(5), pages 1329-1353, December.
    23. Bruno Rémillard & Olivier Scaillet, 2007. "Testing For Equality Between Two Copulas," Swiss Finance Institute Research Paper Series 07-24, Swiss Finance Institute.
    24. Marc Gronwald & Janina Ketterer & Stefan Trück, 2011. "The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis," CESifo Working Paper Series 3418, CESifo.
    25. Dimitrova, Dimitrina S. & Kaishev, Vladimir K. & Penev, Spiridon I., 2008. "GeD spline estimation of multivariate Archimedean copulas," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3570-3582, March.
    26. Christian Genest & Johanna Nešlehová & Johanna Ziegel, 2011. "Inference in multivariate Archimedean copula models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(2), pages 223-256, August.
    27. Nurulkamal Masseran, 2021. "Modeling the Characteristics of Unhealthy Air Pollution Events: A Copula Approach," IJERPH, MDPI, vol. 18(16), pages 1-18, August.
    28. Nguyen, Cuong C. & Bhatti, M. Ishaq, 2012. "Copula model dependency between oil prices and stock markets: Evidence from China and Vietnam," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 758-773.
    29. Riadh Aloui & Mohamed Safouane Ben Aïssa & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management," Working Papers 2014-590, Department of Research, Ipag Business School.
    30. Li, Yaohan & Dong, You & Guo, Hongyuan, 2023. "Copula-based multivariate renewal model for life-cycle analysis of civil infrastructure considering multiple dependent deterioration processes," Reliability Engineering and System Safety, Elsevier, vol. 231(C).
    31. Roch, Oriol & Alegre, Antonio, 2006. "Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market," Computational Statistics & Data Analysis, Elsevier, vol. 51(2), pages 1312-1329, November.
    32. Mohamed Belalia & Jean-François Quessy, 2024. "Generalized simulated method-of-moments estimators for multivariate copulas," Statistical Papers, Springer, vol. 65(8), pages 4811-4841, October.
    33. Boubaker, Heni & Sghaier, Nadia, 2013. "Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 361-377.
    34. Grothe, Oliver & Schnieders, Julius, 2011. "Spatial Dependence in Wind and Optimal Wind Power Allocation: A Copula Based Analysis," EWI Working Papers 2011-5, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI).
    35. Kaveh Salehzadeh Nobari, 2021. "Pair copula constructions of point-optimal sign-based tests for predictive linear and nonlinear regressions," Papers 2111.04919, arXiv.org.
    36. Ramesh Gupta, 2011. "Bivariate odds ratio and association measures," Statistical Papers, Springer, vol. 52(1), pages 125-138, February.
    37. Yiran Chen & Giray Ökten, 2022. "A goodness-of-fit test for copulas based on the collision test," Statistical Papers, Springer, vol. 63(5), pages 1369-1385, October.
    38. Pasanisi, Alberto & Fu, Shuai & Bousquet, Nicolas, 2012. "Estimating discrete Markov models from various incomplete data schemes," Computational Statistics & Data Analysis, Elsevier, vol. 56(9), pages 2609-2625.
    39. Jie Yang & Yimin Wang & Jun Yao & Jianxia Chang & Guoxin Xu & Xin Wang & Hui Hu, 2020. "Coincidence probability analysis of hydrologic low-flow under the changing environment in the Wei River Basin," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 103(2), pages 1711-1726, September.
    40. Hongshi Xu & Kui Xu & Tianye Wang & Wanjie Xue, 2022. "Investigating Flood Risks of Rainfall and Storm Tides Affected by the Parameter Estimation Coupling Bivariate Statistics and Hydrodynamic Models in the Coastal City," IJERPH, MDPI, vol. 19(19), pages 1-18, October.
    41. Hanan Haj Ahmad & Ehab M. Almetwally & Dina A. Ramadan, 2023. "Investigating the Relationship between Processor and Memory Reliability in Data Science: A Bivariate Model Approach," Mathematics, MDPI, vol. 11(9), pages 1-23, May.
    42. Areski Cousin & Elena Di Bernadino, 2013. "On Multivariate Extensions of Value-at-Risk," Working Papers hal-00638382, HAL.
    43. Durante Fabrizio & Puccetti Giovanni & Scherer Matthias & Vanduffel Steven, 2016. "Stat Trek. An interview with Christian Genest," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-14, May.
    44. Sebastian Kiwitt & Natalie Neumeyer, 2013. "A note on testing independence by a copula-based order selection approach," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(1), pages 62-82, March.
    45. Fantazzini, Dean, 2010. "Three-stage semi-parametric estimation of T-copulas: Asymptotics, finite-sample properties and computational aspects," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2562-2579, November.
    46. Weiß, Gregor N.F., 2011. "Are Copula-GoF-tests of any practical use? Empirical evidence for stocks, commodities and FX futures," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 173-188, May.
    47. Cuong Nguyen & M. Bhatti & Aziz Hayat, 2014. "Volatility linkages in the spot and futures market in Australia: a copula approach," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(5), pages 2589-2603, September.
    48. Kjersti Aas, 2016. "Pair-Copula Constructions for Financial Applications: A Review," Econometrics, MDPI, vol. 4(4), pages 1-15, October.
    49. Rehbock Volker, 2007. "Bootstrapping L2-type statistics in copula density testing," Statistics & Risk Modeling, De Gruyter, vol. 25(4), pages 333-347, October.
    50. Durante, Fabrizio & Jaworski, Piotr & Mesiar, Radko, 2011. "Invariant dependence structures and Archimedean copulas," Statistics & Probability Letters, Elsevier, vol. 81(12), pages 1995-2003.
    51. Perepolkin, Dmytro & Lindsröm, Erik & Sahlin, Ullrika, 2023. "Quantile-parameterized distributions for expert knowledge elicitation," OSF Preprints tq3an, Center for Open Science.
    52. Lopez, Olivier, 2012. "A generalization of the Kaplan–Meier estimator for analyzing bivariate mortality under right-censoring and left-truncation with applications in model-checking for survival copula models," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 505-516.
    53. Manner, H., 2007. "Estimation and model selection of copulas with an application to exchange rates," Research Memorandum 056, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    54. Babaei, Sadra & Sepehri, Mohammad Mehdi & Babaei, Edris, 2015. "Multi-objective portfolio optimization considering the dependence structure of asset returns," European Journal of Operational Research, Elsevier, vol. 244(2), pages 525-539.
    55. Nguyen-Huy, Thong & Deo, Ravinesh C. & An-Vo, Duc-Anh & Mushtaq, Shahbaz & Khan, Shahjahan, 2017. "Copula-statistical precipitation forecasting model in Australia’s agro-ecological zones," Agricultural Water Management, Elsevier, vol. 191(C), pages 153-172.
    56. Mesfioui, Mhamed & Quessy, Jean-François, 2008. "Dependence structure of conditional Archimedean copulas," Journal of Multivariate Analysis, Elsevier, vol. 99(3), pages 372-385, March.
    57. Beatriz Mendes & Mariângela Semeraro & Ricardo Leal, 2010. "Pair-copulas modeling in finance," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 24(2), pages 193-213, June.
    58. Gribkova, Svetlana & Lopez, Olivier & Saint-Pierre, Philippe, 2013. "A simplified model for studying bivariate mortality under right-censoring," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 181-192.
    59. Kim, Gunky & Silvapulle, Mervyn J. & Silvapulle, Paramsothy, 2007. "Comparison of semiparametric and parametric methods for estimating copulas," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 2836-2850, March.
    60. Bentoumi Rachid & Mesfioui Mhamed & Alvo Mayer, 2019. "Dependence measure for length-biased survival data using copulas," Dependence Modeling, De Gruyter, vol. 7(1), pages 348-364, January.
    61. Gong Chen & Hartmut Fricke & Ostap Okhrin & Judith Rosenow, 2022. "Importance of Weather Conditions in a Flight Corridor," Stats, MDPI, vol. 5(1), pages 1-27, March.
    62. Panagiotou, Dimitrios & Stavrakoudis, Athanassios, 2017. "Vertical price relationships between different cuts and quality grades in the U.S. beef marketing channel: a wholesale-retail analysis," MPRA Paper 75989, University Library of Munich, Germany.
    63. Shi, Peng, 2012. "Multivariate longitudinal modeling of insurance company expenses," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 204-215.
    64. Quessy, Jean-François & Rivest, Louis-Paul & Toupin, Marie-Hélène, 2016. "On the family of multivariate chi-square copulas," Journal of Multivariate Analysis, Elsevier, vol. 152(C), pages 40-60.
    65. Yongqin Chen & Qiang Zhang & Mingzhong Xiao & Vijay Singh, 2013. "Evaluation of risk of hydrological droughts by the trivariate Plackett copula in the East River basin (China)," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 68(2), pages 529-547, September.
    66. Li, Wei & Chen, Wei & Jiang, Zhen & Lu, Zhenzhou & Liu, Yu, 2014. "New validation metrics for models with multiple correlated responses," Reliability Engineering and System Safety, Elsevier, vol. 127(C), pages 1-11.
    67. Będowska-Sójka, Barbara & Górka, Joanna, 2022. "The lithium and oil markets – dependencies and volatility spillovers," Resources Policy, Elsevier, vol. 78(C).
    68. Mejdoub, Hanène & Ben Arab, Mounira, 2018. "Impact of dependence modeling of non-life insurance risks on capital requirement: D-Vine Copula approach," Research in International Business and Finance, Elsevier, vol. 45(C), pages 208-218.
    69. Boris Brodsky & Henry Penikas & Irina Safaryan, 2012. "Copula structural shift identification," HSE Working papers WP BRP 05/FE/2012, National Research University Higher School of Economics.
    70. Paul Embrechts & Marius Hofert, 2011. "Comments on: Inference in multivariate Archimedean copula models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(2), pages 263-270, August.
    71. Can, S.U. & Einmahl, John & Laeven, R.J.A., 2020. "Goodness-of-fit testing for copulas: A distribution-free approach," Other publications TiSEM 211b2be9-b46e-41e2-9b95-1, Tilburg University, School of Economics and Management.
    72. Schepsmeier, Ulf, 2015. "Efficient information based goodness-of-fit tests for vine copula models with fixed margins: A comprehensive review," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 34-52.
    73. Patricia Ortega-Jiménez & Miguel A. Sordo & Alfonso Suárez-Llorens, 2021. "Stochastic Comparisons of Some Distances between Random Variables," Mathematics, MDPI, vol. 9(9), pages 1-14, April.
    74. Mensi, Walid & Shahzad, Syed Jawad Hussain & Hammoudeh, Shawkat & Zeitun, Rami & Rehman, Mobeen Ur, 2017. "Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach," Emerging Markets Review, Elsevier, vol. 32(C), pages 130-147.
    75. Genest, Christian & Masiello, Esterina & Tribouley, Karine, 2009. "Estimating copula densities through wavelets," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 170-181, April.
    76. Brodsky, Boris & Penikas, Henry & Safaryan, Irina, 2009. "Detection of Structural Breaks in Copula Models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 16(4), pages 3-15.
    77. Okhrin, Ostap & Okhrin, Yarema & Schmid, Wolfgang, 2013. "On the structure and estimation of hierarchical Archimedean copulas," Journal of Econometrics, Elsevier, vol. 173(2), pages 189-204.
    78. Aida Karmous & Heni Boubaker & Lotfi Belkacem, 2021. "Forecasting Volatility for an Optimal Portfolio with Stylized Facts Using Copulas," Computational Economics, Springer;Society for Computational Economics, vol. 58(2), pages 461-482, August.
    79. Bücher, Axel & Dette, Holger & Volgushev, Stanislav, 2012. "A test for Archimedeanity in bivariate copula models," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 121-132.
    80. Zhuang, Haoxin & Diao, Liqun & Yi, Grace Y., 2022. "A Bayesian nonparametric mixture model for grouping dependence structures and selecting copula functions," Econometrics and Statistics, Elsevier, vol. 22(C), pages 172-189.
    81. Yuri Salazar Flores & Adán Díaz-Hernández, 2022. "The General Tail Dependence Function in the Marshall-Olkin and Other Parametric Copula Models with an Application to Financial Time Series," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 84(1), pages 146-187, May.
    82. Xu Chen & Surya T. Tokdar, 2021. "Joint quantile regression for spatial data," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 83(4), pages 826-852, September.
    83. Jeungbo Shim & Eun-Joo Lee & Seung-Hwan Lee, 2016. "A new test procedure for the choice of dependence structure in risk measurement: application to the US and UK stock market indices," Applied Economics, Taylor & Francis Journals, vol. 48(15), pages 1382-1389, March.
    84. Hofert, Marius & Mächler, Martin & McNeil, Alexander J., 2012. "Likelihood inference for Archimedean copulas in high dimensions under known margins," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 133-150.
    85. Fantazzini, Dean, 2011. "Analysis of multidimensional probability distributions with copula functions. III," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 24(4), pages 100-130.
    86. Gabriel GAIDUCHEVICI, 2015. "A Method For Systemic Risk Estimation Based On Cds Indices," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 15, pages 103-124, June.
    87. Lu, Xiaohui & Zheng, Xu, 2020. "A goodness-of-fit test for copulas based on martingale transformation," Journal of Econometrics, Elsevier, vol. 215(1), pages 84-117.
    88. Areski Cousin & Elena Di Bernadino, 2011. "On Multivariate Extensions of Value-at-Risk," Papers 1111.1349, arXiv.org, revised Apr 2013.
    89. Juan Lin & Ximing Wu, 2015. "Smooth Tests of Copula Specifications," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(1), pages 128-143, January.
    90. Kim, Daeyoung & Kim, Jong-Min & Liao, Shu-Min & Jung, Yoon-Sung, 2013. "Mixture of D-vine copulas for modeling dependence," Computational Statistics & Data Analysis, Elsevier, vol. 64(C), pages 1-19.
    91. Nikoloulopoulos, Aristidis K. & Joe, Harry & Li, Haijun, 2012. "Vine copulas with asymmetric tail dependence and applications to financial return data," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3659-3673.
    92. Cousin, Areski & Di Bernardino, Elena, 2013. "On multivariate extensions of Value-at-Risk," Journal of Multivariate Analysis, Elsevier, vol. 119(C), pages 32-46.
    93. Li, Luyi & Lu, Zhenzhou & Wu, Danqing, 2016. "A new kind of sensitivity index for multivariate output," Reliability Engineering and System Safety, Elsevier, vol. 147(C), pages 123-131.
    94. Elena Di Bernardino & Clémentine Prieur, 2014. "Estimation of multivariate conditional-tail-expectation using Kendall's process," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 26(2), pages 241-267, June.
    95. Elham Dehghani & Somayeh Hadad Ranjbar & Moharram Atashafrooz & Hossein Negarestani & Amir Mosavi & Levente Kovacs, 2021. "Introducing Copula as a Novel Statistical Method in Psychological Analysis," IJERPH, MDPI, vol. 18(15), pages 1-10, July.
    96. Quessy, Jean-François & Bahraoui, Tarik, 2014. "Weak convergence of empirical and bootstrapped C-power processes and application to copula goodness-of-fit," Journal of Multivariate Analysis, Elsevier, vol. 129(C), pages 16-36.
    97. Charpentier, A. & Segers, J.J.J., 2006. "Convergence of Archimedean Copulas," Other publications TiSEM 410237d0-4c38-48f6-8f36-6, Tilburg University, School of Economics and Management.
    98. Nikoloulopoulos, Aristidis K. & Karlis, Dimitris, 2008. "Copula model evaluation based on parametric bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 52(7), pages 3342-3353, March.
    99. Oriol Roch Casellas & Antonio Alegre Escolano, 2005. "Testing the bivariate distribution of daily equity returns using copulas. An application to the Spanish stock market," Working Papers in Economics 143, Universitat de Barcelona. Espai de Recerca en Economia.
    100. Belzunce, F. & Castano, A. & Olvera-Cervantes, A. & Suarez-Llorens, A., 2007. "Quantile curves and dependence structure for bivariate distributions," Computational Statistics & Data Analysis, Elsevier, vol. 51(10), pages 5112-5129, June.
    101. Quessy, Jean-François & Durocher, Martin, 2019. "The class of copulas arising from squared distributions: Properties and inference," Econometrics and Statistics, Elsevier, vol. 12(C), pages 148-166.
    102. Bhatti, M. Ishaq & Nguyen, Cuong C., 2012. "Diversification evidence from international equity markets using extreme values and stochastic copulas," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 622-646.
    103. Dobric, Jadran & Schmid, Friedrich, 2007. "A goodness of fit test for copulas based on Rosenblatt's transformation," Computational Statistics & Data Analysis, Elsevier, vol. 51(9), pages 4633-4642, May.
    104. Yuri Salazar Flores & Adán Díaz-Hernández, 2021. "Counterdiagonal/nonpositive tail dependence in Vine copula constructions: application to portfolio management," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(2), pages 375-407, June.
    105. Okhrin, Ostap, 2010. "Fitting high-dimensional copulae to data," SFB 649 Discussion Papers 2010-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

  6. Genest, Christian & Quessy, Jean-François & Rémillard, Bruno, 2006. "Local efficiency of a Cramer-von Mises test of independence," Journal of Multivariate Analysis, Elsevier, vol. 97(1), pages 274-294, January.

    Cited by:

    1. Kojadinovic, Ivan & Yan, Jun, 2010. "Nonparametric rank-based tests of bivariate extreme-value dependence," Journal of Multivariate Analysis, Elsevier, vol. 101(9), pages 2234-2249, October.
    2. Daniel Berg & Jean‐François Quessy, 2009. "Local Power Analyses of Goodness‐of‐fit Tests for Copulas," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(3), pages 389-412, September.
    3. Claudio G. Borroni, 2019. "Mutual association measures," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 28(4), pages 571-591, December.
    4. Helmut Herwartz & Simone Maxand, 2020. "Nonparametric tests for independence: a review and comparative simulation study with an application to malnutrition data in India," Statistical Papers, Springer, vol. 61(5), pages 2175-2201, October.
    5. Liu, Xiaochun, 2015. "Modeling time-varying skewness via decomposition for out-of-sample forecast," International Journal of Forecasting, Elsevier, vol. 31(2), pages 296-311.
    6. Berghaus, Betina & Segers, Johan, 2018. "Weak convergence of the weighted empirical beta copula process," Journal of Multivariate Analysis, Elsevier, vol. 166(C), pages 266-281.
    7. Genest, Christian & Nešlehová, Johanna G. & Rémillard, Bruno, 2017. "Asymptotic behavior of the empirical multilinear copula process under broad conditions," Journal of Multivariate Analysis, Elsevier, vol. 159(C), pages 82-110.
    8. Bianchi, Pascal & Elgui, Kevin & Portier, François, 2023. "Conditional independence testing via weighted partial copulas," Journal of Multivariate Analysis, Elsevier, vol. 193(C).
    9. Helmut Herwartz & Alexander Lange & Simone Maxand, 2022. "Data‐driven identification in SVARs—When and how can statistical characteristics be used to unravel causal relationships?," Economic Inquiry, Western Economic Association International, vol. 60(2), pages 668-693, April.
    10. Bagkavos, D. & Patil, P.N., 2017. "A new test of independence for bivariate observations," Journal of Multivariate Analysis, Elsevier, vol. 160(C), pages 117-133.
    11. Talbi, Marwa & de Peretti, Christian & Belkacem, Lotfi, 2020. "Dynamics and causality in distribution between spot and future precious metals: A copula approach," Resources Policy, Elsevier, vol. 66(C).
    12. C Genest & J G Nešlehová & B Rémillard & O A Murphy, 2019. "Testing for independence in arbitrary distributions," Biometrika, Biometrika Trust, vol. 106(1), pages 47-68.
    13. Wanat, Stanisław & Papież, Monika & Śmiech, Sławomir, 2014. "Causality in distribution between European stock markets and commodity prices: Using independence test based on the empirical copula," MPRA Paper 57706, University Library of Munich, Germany.
    14. Mangold, Benedikt, 2017. "A multivariate rank test of independence based on a multiparametric polynomial copula," FAU Discussion Papers in Economics 10/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics, revised 2017.

  7. Christian Genest & Bruno Rémillard, 2004. "Test of independence and randomness based on the empirical copula process," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 13(2), pages 335-369, December.

    Cited by:

    1. Xia Li, 2024. "Unveiling Portfolio Resilience: Harnessing Asymmetric Copulas for Dynamic Risk Assessment in the Knowledge Economy," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 15(3), pages 10200-10226, September.
    2. García, Jesús E. & González-López, V.A., 2014. "Independence tests for continuous random variables based on the longest increasing subsequence," Journal of Multivariate Analysis, Elsevier, vol. 127(C), pages 126-146.
    3. Li, Dong & Ling, Shiqing, 2012. "On the least squares estimation of multiple-regime threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 167(1), pages 240-253.
    4. Luca Bagnato & Lucio De Capitani & Antonio Punzo, 2018. "Testing for Serial Independence: Beyond the Portmanteau Approach," The American Statistician, Taylor & Francis Journals, vol. 72(3), pages 219-238, July.
    5. Sancetta, A. & Nikanrova, A., 2005. "Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices," Cambridge Working Papers in Economics 0516, Faculty of Economics, University of Cambridge.
    6. Henry Penikas, 2016. "Copula-Based Univariate Time Series Structural Shift Identification Test," Papers 1609.05056, arXiv.org.
    7. Boris David & Gilles Zumbach, 2022. "Multivariate backtests and copulas for risk evaluation," Papers 2206.03896, arXiv.org, revised Nov 2023.
    8. Penikas, Henry, 2010. "Copula-Models in Foreign Exchange Risk-Management of a Bank," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 17(1), pages 62-87.
    9. Pandit, Mahesh & Paudel, Krishna P. & Mishra, Ashok K., 2013. "Do Agricultural Subsidies Affect the Labor Allocation Decision? Comparing Parametric and Semiparametric Methods," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 38(1), pages 1-18, April.
    10. Bianchi, Pascal & Elgui, Kevin & Portier, François, 2023. "Conditional independence testing via weighted partial copulas," Journal of Multivariate Analysis, Elsevier, vol. 193(C).
    11. Matthieu Garcin & Maxime L. D. Nicolas, 2021. "Nonparametric estimator of the tail dependence coefficient: balancing bias and variance," Papers 2111.11128, arXiv.org, revised Jul 2023.
    12. Kalemkerian, Juan & Fernández, Diego, 2020. "An independence test based on recurrence rates," Journal of Multivariate Analysis, Elsevier, vol. 178(C).
    13. Jiří Dvořák & Tomáš Mrkvička, 2022. "Graphical tests of independence for general distributions," Computational Statistics, Springer, vol. 37(2), pages 671-699, April.
    14. Talbi, Marwa & de Peretti, Christian & Belkacem, Lotfi, 2020. "Dynamics and causality in distribution between spot and future precious metals: A copula approach," Resources Policy, Elsevier, vol. 66(C).
    15. Jone Ascorbebeitia & Eva Ferreira & Susan Orbe, 2022. "Testing conditional multivariate rank correlations: the effect of institutional quality on factors influencing competitiveness," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 31(4), pages 931-949, December.
    16. M. Mehdi Bateni & Mario L. V. Martina & ·Marcello Arosio, 2022. "Multivariate return period for different types of flooding in city of Monza, Italy," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 114(1), pages 811-823, October.
    17. Guillou, Armelle & Padoan, Simone A. & Rizzelli, Stefano, 2018. "Inference for asymptotically independent samples of extremes," Journal of Multivariate Analysis, Elsevier, vol. 167(C), pages 114-135.
    18. Danna Zhang & Mengyu Xu, 2024. "A High-Dimensional Cramér–von Mises Test," Mathematics, MDPI, vol. 12(22), pages 1-23, November.
    19. Ahmet Akca & Ethem Çanakoğlu, 2021. "Adaptive stochastic risk estimation of firm operating profit," Economia e Politica Industriale: Journal of Industrial and Business Economics, Springer;Associazione Amici di Economia e Politica Industriale, vol. 48(3), pages 463-504, September.
    20. Hatem Ben-Ameur & Rim Chérif & Bruno Rémillard, 2016. "American-style options in jump-diffusion models: estimation and evaluation," Quantitative Finance, Taylor & Francis Journals, vol. 16(8), pages 1313-1324, August.
    21. Milan Cisty & Anna Becova & Lubomir Celar, 2016. "Analysis of Irrigation Needs Using an Approach Based on a Bivariate Copula Methodology," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 30(1), pages 167-182, January.
    22. Luca Bagnato & Lucio De Capitani & Antonio Punzo, 2017. "A diagram to detect serial dependencies: an application to transport time series," Quality & Quantity: International Journal of Methodology, Springer, vol. 51(2), pages 581-594, March.
    23. Ghislain Verdier, 2024. "Goodness-of-fit procedure for gamma processes," Computational Statistics, Springer, vol. 39(5), pages 2623-2650, July.
    24. Florencia Leonardi & Matías Lopez‐Rosenfeld & Daniela Rodriguez & Magno T. F. Severino & Mariela Sued, 2021. "Independent block identification in multivariate time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(1), pages 19-33, January.
    25. Wanat, Stanisław & Papież, Monika & Śmiech, Sławomir, 2014. "Causality in distribution between European stock markets and commodity prices: Using independence test based on the empirical copula," MPRA Paper 57706, University Library of Munich, Germany.
    26. Fernández-Durán Juan José & Gregorio-Domínguez María Mercedes, 2023. "Test of bivariate independence based on angular probability integral transform with emphasis on circular-circular and circular-linear data," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-17, January.
    27. Aivazian, Sergei & Afanasiev, Mikhail & Rudenko, Victoria, 2014. "Analysis of dependence between the random components of a stochastic production function for the purpose of technical efficiency estimation," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 34(2), pages 3-18.
    28. Hao, Jing & He, Feng, 2018. "Univariate dependence among sectors in Chinese stock market and systemic risk implication," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 355-364.
    29. Matthieu Garcin & Maxime L. D. Nicolas, 2024. "Nonparametric estimator of the tail dependence coefficient: balancing bias and variance," Statistical Papers, Springer, vol. 65(8), pages 4875-4913, October.
    30. Gery Geenens & Arthur Charpentier & Davy Paindaveine, 2014. "Probit Transformation for Nonparametric Kernel Estimation of the Copula Density," Working Papers ECARES ECARES 2014-23, ULB -- Universite Libre de Bruxelles.
    31. Jin, Ze & Matteson, David S., 2018. "Generalizing distance covariance to measure and test multivariate mutual dependence via complete and incomplete V-statistics," Journal of Multivariate Analysis, Elsevier, vol. 168(C), pages 304-322.
    32. Mangold, Benedikt, 2017. "A multivariate rank test of independence based on a multiparametric polynomial copula," FAU Discussion Papers in Economics 10/2015, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics, revised 2017.
    33. Penikas, Henry, 2011. "Copula-Based Price Risk Hedging Models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 22(2), pages 3-21.
    34. Penikas, H., 2010. "Financial Applications of Copula-Models," Journal of the New Economic Association, New Economic Association, issue 7, pages 24-44.

  8. Ghoudi, Kilani & Kulperger, Reg J. & Rémillard, Bruno, 2001. "A Nonparametric Test of Serial Independence for Time Series and Residuals," Journal of Multivariate Analysis, Elsevier, vol. 79(2), pages 191-218, November.

    Cited by:

    1. Vukovic, Darko B. & Lapshina, Kseniya A. & Maiti, Moinak, 2021. "Wavelet coherence analysis of returns, volatility and interdependence of the US and the EU money markets: Pre & post crisis," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    2. Meintanis, Simos G. & Iliopoulos, George, 2008. "Fourier methods for testing multivariate independence," Computational Statistics & Data Analysis, Elsevier, vol. 52(4), pages 1884-1895, January.
    3. Kojadinovic, Ivan & Holmes, Mark, 2009. "Tests of independence among continuous random vectors based on Cramr-von Mises functionals of the empirical copula process," Journal of Multivariate Analysis, Elsevier, vol. 100(6), pages 1137-1154, July.
    4. Joan Jasiak & C. Gourieroux, 2006. "Dynamic Quantile Models," Working Papers 2006_4, York University, Department of Economics.
    5. Bouhaddioui, Chafik & Ghoudi, Kilani, 2012. "Empirical processes for infinite variance autoregressive models," Journal of Multivariate Analysis, Elsevier, vol. 107(C), pages 319-335.
    6. Genest, Christian & Nešlehová, Johanna G. & Rémillard, Bruno, 2013. "On the estimation of Spearman’s rho and related tests of independence for possibly discontinuous multivariate data," Journal of Multivariate Analysis, Elsevier, vol. 117(C), pages 214-228.
    7. Mercadier, Cécile & Roustant, Olivier & Genest, Christian, 2022. "Linking the Hoeffding–Sobol and Möbius formulas through a decomposition of Kuo, Sloan, Wasilkowski, and Woźniakowski," Statistics & Probability Letters, Elsevier, vol. 185(C).
    8. Jean-François Quessy, 2009. "Theoretical efficiency comparisons of independence tests based on multivariate versions of Spearman’s rho," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 70(3), pages 315-338, November.
    9. Beran, R. & Bilodeau, M. & Lafaye de Micheaux, P., 2007. "Nonparametric tests of independence between random vectors," Journal of Multivariate Analysis, Elsevier, vol. 98(9), pages 1805-1824, October.
    10. Bilodeau, M. & Lafaye de Micheaux, P., 2005. "A multivariate empirical characteristic function test of independence with normal marginals," Journal of Multivariate Analysis, Elsevier, vol. 95(2), pages 345-369, August.
    11. Xiaojun Song & Haoyu Wei, 2021. "Nonparametric Tests of Conditional Independence for Time Series," Papers 2110.04847, arXiv.org.
    12. Nasri, Bouchra R., 2022. "Tests of serial dependence for multivariate time series with arbitrary distributions," Journal of Multivariate Analysis, Elsevier, vol. 192(C).
    13. Luca Bagnato & Lucio De Capitani & Antonio Punzo, 2014. "Testing Serial Independence via Density-Based Measures of Divergence," Methodology and Computing in Applied Probability, Springer, vol. 16(3), pages 627-641, September.
    14. Ghislain Verdier, 2024. "Goodness-of-fit procedure for gamma processes," Computational Statistics, Springer, vol. 39(5), pages 2623-2650, July.
    15. C Genest & J G Nešlehová & B Rémillard & O A Murphy, 2019. "Testing for independence in arbitrary distributions," Biometrika, Biometrika Trust, vol. 106(1), pages 47-68.
    16. Kilani Ghoudi & Bruno Rémillard, 2018. "Serial independence tests for innovations of conditional mean and variance models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 27(1), pages 3-26, March.
    17. Hao, Jing & He, Feng, 2018. "Univariate dependence among sectors in Chinese stock market and systemic risk implication," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 355-364.
    18. Xing Zhang & Tat Y. Chan & Ying Xie, 2018. "Price Search and Periodic Price Discounts," Management Science, INFORMS, vol. 64(2), pages 495-510, February.
    19. Fan, Yanan & de Micheaux, Pierre Lafaye & Penev, Spiridon & Salopek, Donna, 2017. "Multivariate nonparametric test of independence," Journal of Multivariate Analysis, Elsevier, vol. 153(C), pages 189-210.
    20. Matsushita, Raul & Figueiredo, Annibal & Da Silva, Sergio, 2012. "A suggested statistical test for measuring bivariate nonlinear dependence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4891-4898.

  9. Genest, Christian & Ghoudi, Kilani & Rémillard, Bruno, 1996. "A note on tightness," Statistics & Probability Letters, Elsevier, vol. 27(4), pages 331-339, May.

    Cited by:

    1. Kulik, Rafal & Soulier, Philippe, 2011. "The tail empirical process for long memory stochastic volatility sequences," Stochastic Processes and their Applications, Elsevier, vol. 121(1), pages 109-134, January.
    2. Nasri, Bouchra R. & Rémillard, Bruno N. & Bahraoui, Tarik, 2022. "Change-point problems for multivariate time series using pseudo-observations," Journal of Multivariate Analysis, Elsevier, vol. 187(C).

  10. Barbe, Philippe & Genest, Christian & Ghoudi, Kilani & Rémillard, Bruno, 1996. "On Kendall's Process," Journal of Multivariate Analysis, Elsevier, vol. 58(2), pages 197-229, August.

    Cited by:

    1. Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2018. "A novel multivariate risk measure: the Kendall VaR," Post-Print halshs-01467857, HAL.
    2. Segers, Johan & Uyttendaele, Nathan, 2014. "Nonparametric estimation of the tree structure of a nested Archimedean copula," Computational Statistics & Data Analysis, Elsevier, vol. 72(C), pages 190-204.
    3. Jean-David Fermanian, 2012. "An overview of the goodness-of-fit test problem for copulas," Papers 1211.4416, arXiv.org.
    4. Rezapour, Mohsen & Alamatsaz, Mohammad Hossein, 2014. "Stochastic comparison of lifetimes of two (n−k+1)-out-of-n systems with heterogeneous dependent components," Journal of Multivariate Analysis, Elsevier, vol. 130(C), pages 240-251.
    5. Mohamad Khaled & Paul Makdissi & Prasada Rao & Myra Yazbeck, 2023. "A Unidimensional Representation of Multidimensional Inequality: An Econometric Analysis of Inequalities in the Arab Region," Working Papers 2304E Classification- D63, University of Ottawa, Department of Economics.
    6. Charpentier, Arthur & Segers, Johan, 2008. "Convergence of Archimedean copulas," Statistics & Probability Letters, Elsevier, vol. 78(4), pages 412-419, March.
    7. Härdle, Wolfgang Karl & Okhrin, Ostap & Okhrin, Yarema, 2008. "Modeling dependencies in finance using copulae," SFB 649 Discussion Papers 2008-043, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. Chen, Xiaohong & Fan, Yanqin, 2007. "A Model Selection Test For Bivariate Failure-Time Data," Econometric Theory, Cambridge University Press, vol. 23(3), pages 414-439, June.
    9. Mainik, Georg, 2015. "Risk aggregation with empirical margins: Latin hypercubes, empirical copulas, and convergence of sum distributions," Journal of Multivariate Analysis, Elsevier, vol. 141(C), pages 197-216.
    10. Okhrin Ostap & Okhrin Yarema & Schmid Wolfgang, 2013. "Properties of hierarchical Archimedean copulas," Statistics & Risk Modeling, De Gruyter, vol. 30(1), pages 21-54, March.
    11. Cooray Kahadawala, 2018. "Strictly Archimedean copulas with complete association for multivariate dependence based on the Clayton family," Dependence Modeling, De Gruyter, vol. 6(1), pages 1-18, February.
    12. Ghoudi, Kilani & Kulperger, Reg J. & Rémillard, Bruno, 2001. "A Nonparametric Test of Serial Independence for Time Series and Residuals," Journal of Multivariate Analysis, Elsevier, vol. 79(2), pages 191-218, November.
    13. Elena Di Bernardino & Didier Rullière, 2015. "Estimation of multivariate critical layers: Applications to rainfall data," Post-Print hal-00940089, HAL.
    14. Liebscher, Eckhard, 2021. "Kendall regression coefficient," Computational Statistics & Data Analysis, Elsevier, vol. 157(C).
    15. Areski Cousin & Elena Di Bernadino, 2013. "On Multivariate Extensions of Value-at-Risk," Working Papers hal-00638382, HAL.
    16. Durante Fabrizio & Puccetti Giovanni & Scherer Matthias & Vanduffel Steven, 2016. "Stat Trek. An interview with Christian Genest," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-14, May.
    17. Fantazzini, Dean, 2010. "Three-stage semi-parametric estimation of T-copulas: Asymptotics, finite-sample properties and computational aspects," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2562-2579, November.
    18. Hofert, Marius, 2021. "Right-truncated Archimedean and related copulas," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 79-91.
    19. Mohamad A. Khaled & Paul Makdissi & D.S. Prasada Rao & Myra Yazbeck, 2023. "A unidimensional representation of multidimensional inequality, with an application to the Arab region," Discussion Papers Series 659, School of Economics, University of Queensland, Australia.
    20. André Neumann & Thorsten Dickhaus, 2020. "Nonparametric Archimedean generator estimation with implications for multiple testing," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(2), pages 309-323, June.
    21. Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2017. "A novel multivariate risk measure: the Kendall VaR," Documents de travail du Centre d'Economie de la Sorbonne 17008, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    22. Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2017. "A novel multivariate risk measure: the Kendall VaR," Documents de travail du Centre d'Economie de la Sorbonne 17008r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Apr 2018.
    23. Genest, Christian & Rivest, Louis-Paul, 2001. "On the multivariate probability integral transformation," Statistics & Probability Letters, Elsevier, vol. 53(4), pages 391-399, July.
    24. Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2018. "A novel multivariate risk measure: the Kendall VaR," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01467857, HAL.
    25. Brechmann, Eike C. & Hendrich, Katharina & Czado, Claudia, 2013. "Conditional copula simulation for systemic risk stress testing," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 722-732.
    26. Rihab Bedoui & Makram Ben Dbabis, 2009. "Copulas and bivariate risk measures : an application to hedge funds," Working Papers hal-04140876, HAL.
    27. Hélène Cossette & Etienne Marceau & Quang Huy Nguyen & Christian Y. Robert, 2019. "Tail Approximations for Sums of Dependent Regularly Varying Random Variables Under Archimedean Copula Models," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 461-490, June.
    28. Antonov I. N. & Knyazev A. G. & Lepekhin O. A., 2016. "Copula Models of the Joint Distribution of Exchange Rates," World of economics and management / Vestnik NSU. Series: Social and Economics Sciences, Socionet, vol. 16(4), pages 20-38.
    29. Segers, Johan & Uyttendaele, Nathan, 2013. "Nonparametric estimation of the tree structure of a nested Archimedean copula," LIDAM Discussion Papers ISBA 2013009, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    30. Di Bernardino, E. & Fernández-Ponce, J.M. & Palacios-Rodríguez, F. & Rodríguez-Griñolo, M.R., 2015. "On multivariate extensions of the conditional Value-at-Risk measure," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 1-16.
    31. Leitao, Álvaro & Grzelak, Lech A. & Oosterlee, Cornelis W., 2017. "On a one time-step Monte Carlo simulation approach of the SABR model: Application to European options," Applied Mathematics and Computation, Elsevier, vol. 293(C), pages 461-479.
    32. Genest Christian & Scherer Matthias, 2023. "When copulas and smoothing met: An interview with Irène Gijbels," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-16, January.
    33. Hofert, Marius & Mächler, Martin & McNeil, Alexander J., 2012. "Likelihood inference for Archimedean copulas in high dimensions under known margins," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 133-150.
    34. Areski Cousin & Elena Di Bernadino, 2011. "On Multivariate Extensions of Value-at-Risk," Papers 1111.1349, arXiv.org, revised Apr 2013.
    35. Matthieu Garcin & Maxime L. D. Nicolas, 2024. "Nonparametric estimator of the tail dependence coefficient: balancing bias and variance," Statistical Papers, Springer, vol. 65(8), pages 4875-4913, October.
    36. Cousin, Areski & Di Bernardino, Elena, 2013. "On multivariate extensions of Value-at-Risk," Journal of Multivariate Analysis, Elsevier, vol. 119(C), pages 32-46.
    37. Rémillard, Bruno & Papageorgiou, Nicolas & Soustra, Frédéric, 2012. "Copula-based semiparametric models for multivariate time series," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 30-42.
    38. Elena Di Bernardino & Clémentine Prieur, 2014. "Estimation of multivariate conditional-tail-expectation using Kendall's process," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 26(2), pages 241-267, June.
    39. Charpentier, A. & Segers, J.J.J., 2006. "Convergence of Archimedean Copulas," Other publications TiSEM 410237d0-4c38-48f6-8f36-6, Tilburg University, School of Economics and Management.
    40. Georg Mainik, 2015. "Risk aggregation with empirical margins: Latin hypercubes, empirical copulas, and convergence of sum distributions," Papers 1508.02749, arXiv.org.
    41. Christian Genest & Bruno Rémillard, 2004. "Test of independence and randomness based on the empirical copula process," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 13(2), pages 335-369, December.
    42. Okhrin, Ostap, 2010. "Fitting high-dimensional copulae to data," SFB 649 Discussion Papers 2010-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

  11. Belkacem Abdous & Bruno Remillard, 1995. "Relating quantiles and expectiles under weighted-symmetry," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 47(2), pages 371-384, June.

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    1. Taoufik Bouezmarni & Mohamed Doukali & Abderrahim Taamouti, 2023. "Testing Granger Non-Causality in Expectiles," University of East Anglia School of Economics Working Paper Series 2023-02, School of Economics, University of East Anglia, Norwich, UK..
    2. Hamidi, Benjamin & Maillet, Bertrand & Prigent, Jean-Luc, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 1-29.
    3. Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2017. "Extreme M-quantiles as risk measures: From L1 to Lp optimization," TSE Working Papers 17-841, Toulouse School of Economics (TSE).
    4. Daouia, Abdelaati & Girard, Stéphane & Stupfler, Gilles, 2018. "Tail expectile process and risk assessment," TSE Working Papers 18-944, Toulouse School of Economics (TSE).
    5. Kohei Marumo & Steven Li, 2024. "Downside Risk in Australian and Japanese Stock Markets: Evidence Based on the Expectile Regression," JRFM, MDPI, vol. 17(5), pages 1-17, May.
    6. Litimein, Ouahiba & Laksaci, Ali & Mechab, Boubaker & Bouzebda, Salim, 2023. "Local linear estimate of the functional expectile regression," Statistics & Probability Letters, Elsevier, vol. 192(C).
    7. Stéphane Girard & Gilles Claude Stupfler & Antoine Usseglio-Carleve, 2021. "Extreme Conditional Expectile Estimation in Heavy-Tailed Heteroscedastic Regression Models," Post-Print hal-03306230, HAL.
    8. Natalia Nolde & Johanna F. Ziegel, 2016. "Elicitability and backtesting: Perspectives for banking regulation," Papers 1608.05498, arXiv.org, revised Feb 2017.
    9. Abdelaati Daouia & Stéphane Girard & Gilles Stupfler, 2018. "Estimation of tail risk based on extreme expectiles," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 80(2), pages 263-292, March.
    10. Mohammedi, Mustapha & Bouzebda, Salim & Laksaci, Ali, 2021. "The consistency and asymptotic normality of the kernel type expectile regression estimator for functional data," Journal of Multivariate Analysis, Elsevier, vol. 181(C).
    11. Christophe Boucher & Jon Danielsson & Patrick Kouontchou & Bertrand Maillet, 2014. "Risk models-at-risk," Post-Print hal-02312332, HAL.
    12. Garcia-Jorcano, Laura & Sanchis-Marco, Lidia, 2021. "Systemic-systematic risk in financial system: A dynamic ranking based on expectiles," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 330-365.
    13. Farooq, Muhammad & Steinwart, Ingo, 2017. "An SVM-like approach for expectile regression," Computational Statistics & Data Analysis, Elsevier, vol. 109(C), pages 159-181.
    14. Bignozzi, Valeria & Merlo, Luca & Petrella, Lea, 2024. "Inter-order relations between equivalence for Lp-quantiles of the Student's t distribution," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 44-50.
    15. Laura Garcia-Jorcano & Lidia Sanchis-Marco, 2023. "Measuring Systemic Risk Using Multivariate Quantile-Located ES Models," Journal of Financial Econometrics, Oxford University Press, vol. 21(1), pages 1-72.
    16. Xu, Qifa & Chen, Lu & Jiang, Cuixia & Yu, Keming, 2020. "Mixed data sampling expectile regression with applications to measuring financial risk," Economic Modelling, Elsevier, vol. 91(C), pages 469-486.
    17. Russo, Giovanni & Hassink, Wolter, 2011. "Multiple Glass Ceilings," IZA Discussion Papers 5828, Institute of Labor Economics (IZA).
    18. Zhang, Yue-Jun & Ma, Shu-Jiao, 2019. "How to effectively estimate the time-varying risk spillover between crude oil and stock markets? Evidence from the expectile perspective," Energy Economics, Elsevier, vol. 84(C).
    19. Ibrahim M. Almanjahie & Salim Bouzebda & Zoulikha Kaid & Ali Laksaci, 2024. "The local linear functional kNN estimator of the conditional expectile: uniform consistency in number of neighbors," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 87(8), pages 1007-1035, November.
    20. Bernardi, Mauro & Bignozzi, Valeria & Petrella, Lea, 2017. "On the Lp-quantiles for the Student t distribution," Statistics & Probability Letters, Elsevier, vol. 128(C), pages 77-83.
    21. Giovanni Russo & Wolter Hassink, 2012. "Multiple Glass Ceilings," Industrial Relations: A Journal of Economy and Society, Wiley Blackwell, vol. 51(4), pages 892-915, October.
    22. C. Adam & I. Gijbels, 2022. "Local polynomial expectile regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(2), pages 341-378, April.
    23. Fatimah Alshahrani & Ibrahim M. Almanjahie & Zouaoui Chikr Elmezouar & Zoulikha Kaid & Ali Laksaci & Mustapha Rachdi, 2022. "Functional Ergodic Time Series Analysis Using Expectile Regression," Mathematics, MDPI, vol. 10(20), pages 1-17, October.
    24. Valeria Bignozzi & Luca Merlo & Lea Petrella, 2022. "Inter-order relations between moments of a Student $t$ distribution, with an application to $L_p$-quantiles," Papers 2209.12855, arXiv.org.
    25. Pendakur Krishna & Pendakur Ravi & Woodcock Simon D., 2008. "A Representation Index: Measuring the Representation of Minorities in the Income Distribution," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 8(1), pages 1-21, October.

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