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Constrained Nonparametric Copulas

Author

Listed:
  • Patrick Gagliardini

    (Crest)

  • Christian Gourieroux

    (Crest)

Abstract

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  • Patrick Gagliardini & Christian Gourieroux, 2002. "Constrained Nonparametric Copulas," Working Papers 2002-20, Center for Research in Economics and Statistics.
    • Handle: RePEc:crs:wpaper:2002-20
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    File URL: http://crest.science/RePEc/wpstorage/2002-20.pdf
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    Cited by:

    1. Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation of copula-based semiparametric time series models," Journal of Econometrics, Elsevier, vol. 130(2), pages 307-335, February.
    2. Jean-David Fermanian, 2003. "Goodness of Fit Tests for Copulas," Working Papers 2003-34, Center for Research in Economics and Statistics.
    3. Fermanian, Jean-David, 2005. "Goodness-of-fit tests for copulas," Journal of Multivariate Analysis, Elsevier, vol. 95(1), pages 119-152, July.

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