Is a normal copula the right copula?
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- Dante Amengual & Enrique Sentana, 2020. "Is a Normal Copula the Right Copula?," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 350-366, April.
- Dante Amengual & Enrique Sentana, 2015. "Is a Normal Copula the Right Copula?," Working Papers wp2015_1504, CEMFI.
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Cited by:
- Dante Amengual & Xinyue Bei & Enrique Sentana, 2020.
"Hypothesis Tests with a Repeatedly Singular Information Matrix,"
Working Papers
wp2020_2002, CEMFI.
- Sentana, Enrique & Amengual, Dante & Bei, Xinyue, 2020. "Hypothesis tests with a repeatedly singular information matrix," CEPR Discussion Papers 14415, C.E.P.R. Discussion Papers.
- Fiorentini, Gabriele & Sentana, Enrique, 2021.
"New testing approaches for mean–variance predictability,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
- Gabriele Fiorentini & Enrique Sentana, 2018. "New Testing Approaches for Mean-Variance Predictability," Working Papers wp2018_1814, CEMFI.
- Sentana, Enrique & Fiorentini, Gabriele, 2019. "New testing approaches for mean-variance predictability," CEPR Discussion Papers 13426, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Working Paper series 19-01, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Econometrics Working Papers Archive 2019_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Liang Chen & Juan J. Dolado & Jesús Gonzalo, 2021.
"Quantile Factor Models,"
Econometrica, Econometric Society, vol. 89(2), pages 875-910, March.
- Chen, Liang, 2017. "Quantile Factor Models," UC3M Working papers. Economics 25299, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Chen, Liang & Dolado, Juan J. & Gonzalo, Jesús, 2020. "Quantile Factor Models," IZA Discussion Papers 13870, Institute of Labor Economics (IZA).
- Liang Chen & Juan Jose Dolado & Jesus Gonzalo, 2019. "Quantile Factor Models," Papers 1911.02173, arXiv.org, revised Sep 2020.
- Dolado, Juan J & Chen, Liang & Gonzalo, Jesus, 2018. "Quantile Factor Models," CEPR Discussion Papers 12716, C.E.P.R. Discussion Papers.
- Shiraya, Kenichiro & Yamakami, Tomohisa, 2024. "Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility," European Journal of Operational Research, Elsevier, vol. 314(3), pages 1195-1214.
- Oh, Dong Hwan & Patton, Andrew J., 2023. "Dynamic factor copula models with estimated cluster assignments," Journal of Econometrics, Elsevier, vol. 237(2).
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More about this item
Keywords
Cokurtosis; Coskewness; indirect inference; Kuhn-tucker test; Momentum strategies; Non-linear dependence; Short-term reversals; Supremum test; Underidentified parameters;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2015-09-11 (Econometrics)
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