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Large-sample tests of extreme-value dependence for multivariate copulas

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  • Kojadinovic, Jean D.
  • Segers, Johan
  • Yan, Yun

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  • 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).
    • Handle: RePEc:aiz:louvad:2011012
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    References listed on IDEAS

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    1. Olivier Scaillet, 2005. "A Kolmogorov-Smirnov Type Test for Positive Quadrant Dependence," FAME Research Paper Series rp128, International Center for Financial Asset Management and Engineering.
    2. Edward Frees & Emiliano Valdez, 1998. "Understanding Relationships Using Copulas," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(1), pages 1-25.
    3. Rémillard, Bruno & Scaillet, Olivier, 2009. "Testing for equality between two copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(3), pages 377-386, March.
    4. Kojadinovic, Ivan & Yan, Jun, 2010. "Modeling Multivariate Distributions with Continuous Margins Using the copula R Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 34(i09).
    5. Liebscher, Eckhard, 2008. "Construction of asymmetric multivariate copulas," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2234-2250, November.
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    Citations

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    Cited by:

    1. Mazo, Gildas & Girard, Stéphane & Forbes, Florence, 2015. "A class of multivariate copulas based on products of bivariate copulas," Journal of Multivariate Analysis, Elsevier, vol. 140(C), pages 363-376.
    2. F. Marta L. Di Lascio & Andrea Menapace & Maurizio Righetti, 2020. "Joint and conditional dependence modelling of peak district heating demand and outdoor temperature: a copula-based approach," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(2), pages 373-395, June.
    3. Stefan Aulbach & Michael Falk & Timo Fuller, 2019. "Testing for a $$\delta $$ δ -neighborhood of a generalized Pareto copula," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(3), pages 599-626, June.
    4. Kojadinovic, Ivan, 2017. "Some copula inference procedures adapted to the presence of ties," Computational Statistics & Data Analysis, Elsevier, vol. 112(C), pages 24-41.
    5. Agliardi, Elettra & Alexopoulos, Thomas & Karvelas, Kleanthis, 2023. "The environmental pillar of ESG and financial performance: A portfolio analysis," Energy Economics, Elsevier, vol. 120(C).
    6. 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).
    7. 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.
    8. Jean-David Fermanian, 2012. "An overview of the goodness-of-fit test problem for copulas," Papers 1211.4416, arXiv.org.
    9. Yeting Du & Johanna Nešlehová, 2013. "A moment-based test for extreme-value dependence," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(5), pages 673-695, July.
    10. Bucher, Axel & Segers, Johan, 2013. "Extreme value copula estimation based on block maxima of a multivariate stationary time series," LIDAM Discussion Papers ISBA 2013049, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    11. 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).
    12. 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.
    13. Rohmer, Tom, 2016. "Some results on change-point detection in cross-sectional dependence of multivariate data with changes in marginal distributions," Statistics & Probability Letters, Elsevier, vol. 119(C), pages 45-54.
    14. 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.
    15. Edward W. Frees & Gee Lee & Lu Yang, 2016. "Multivariate Frequency-Severity Regression Models in Insurance," Risks, MDPI, vol. 4(1), pages 1-36, February.

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