IDEAS home Printed from https://ideas.repec.org/p/tiu/tiucen/950a8cda-8f8c-43a9-a5c2-88ca22b891da.html
   My bibliography  Save this paper

Improving Upon the Marginal Empirical Distribution Functions when the Copula is Known

Author

Listed:
  • Segers, J.J.J.

    (Tilburg University, Center For Economic Research)

  • van den Akker, R.

    (Tilburg University, Center For Economic Research)

  • Werker, B.J.M.

    (Tilburg University, Center For Economic Research)

Abstract

No abstract is available for this item.

Suggested Citation

  • Segers, J.J.J. & van den Akker, R. & Werker, B.J.M., 2008. "Improving Upon the Marginal Empirical Distribution Functions when the Copula is Known," Discussion Paper 2008-40, Tilburg University, Center for Economic Research.
    • Handle: RePEc:tiu:tiucen:950a8cda-8f8c-43a9-a5c2-88ca22b891da
    as

    Download full text from publisher

    File URL: https://pure.uvt.nl/ws/portalfiles/portal/982459/2008-40.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Chen, Xiaohong & Fan, Yanqin & Tsyrennikov, Viktor, 2006. "Efficient Estimation of Semiparametric Multivariate Copula Models," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1228-1240, September.
    2. Drost, Feike C. & van den Akker, Ramon & Werker, Bas J.M., 2008. "Note on integer-valued bilinear time series models," Statistics & Probability Letters, Elsevier, vol. 78(8), pages 992-996, June.
    3. Peng, Hanxiang & Schick, Anton, 2002. "On efficient estimation of linear functionals of a bivariate distribution with known marginals," Statistics & Probability Letters, Elsevier, vol. 59(1), pages 83-91, August.
    4. van den Akker, R., 2007. "Integer-valued time series," Other publications TiSEM e7f68743-db57-4056-9ca7-1, Tilburg University, School of Economics and Management.
    5. Joe, Harry, 2005. "Asymptotic efficiency of the two-stage estimation method for copula-based models," Journal of Multivariate Analysis, Elsevier, vol. 94(2), pages 401-419, June.
    6. Peng, Hanxiang & Schick, Anton, 2005. "Efficient estimation of linear functionals of a bivariate distribution with equal, but unknown marginals: the least-squares approach," Journal of Multivariate Analysis, Elsevier, vol. 95(2), pages 385-409, August.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Segers, J.J.J. & van den Akker, R. & Werker, B.J.M., 2008. "Improving Upon the Marginal Empirical Distribution Functions when the Copula is Known," Other publications TiSEM 950a8cda-8f8c-43a9-a5c2-8, Tilburg University, School of Economics and Management.
    2. Bouezmarni, T. & Rombouts, J.V.K., 2009. "Semiparametric multivariate density estimation for positive data using copulas," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2040-2054, April.
    3. Bodnar, Olha & Bodnar, Taras & Gupta, Arjun K., 2010. "Estimation and inference for dependence in multivariate data," Journal of Multivariate Analysis, Elsevier, vol. 101(4), pages 869-881, April.
    4. 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.
    5. Einmahl, John H.J. & van den Akker, Ramon, 2011. "Superefficient estimation of the marginals by exploiting knowledge on the copula," Journal of Multivariate Analysis, Elsevier, vol. 102(9), pages 1315-1319, October.
    6. 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.
    7. Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2009. "The asymptotic structure of nearly unstable non negative integer-valued AR(1) models," Other publications TiSEM ac0494ae-7a32-43ca-b5b4-d, Tilburg University, School of Economics and Management.
    8. Liebscher, Eckhard, 2008. "Construction of asymmetric multivariate copulas," Journal of Multivariate Analysis, Elsevier, vol. 99(10), pages 2234-2250, November.
    9. repec:hum:wpaper:sfb649dp2010-022 is not listed on IDEAS
    10. BOUEZMARNI, Taoufik & ROMBOUTS, Jeroen V.K. & TAAMOUTI, Abderrahim, 2008. "Asymptotic properties of the Bernstein density copula for dependent data," LIDAM Discussion Papers CORE 2008045, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    11. Lawless, Jerald F. & Yilmaz, Yildiz E., 2011. "Comparison of semiparametric maximum likelihood estimation and two-stage semiparametric estimation in copula models," Computational Statistics & Data Analysis, Elsevier, vol. 55(7), pages 2446-2455, July.
    12. repec:tiu:tiutis:6b90fe6f-4de9-4192-9f4d-99ae9220af75 is not listed on IDEAS
    13. 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.
    14. 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.
    15. Peng Hanxiang & Schick Anton, 2004. "Efficient estimation of a linear functional of a bivariate distribution with equal, but unknown, marginals: The minimum chi-square approach," Statistics & Risk Modeling, De Gruyter, vol. 22(4), pages 301-318, April.
    16. 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.
    17. Vatter, Thibault & Chavez-Demoulin, Valérie, 2015. "Generalized additive models for conditional dependence structures," Journal of Multivariate Analysis, Elsevier, vol. 141(C), pages 147-167.
    18. Okhrin, Ostap, 2010. "Fitting high-dimensional copulae to data," SFB 649 Discussion Papers 2010-022, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    19. Bouteska, Ahmed & Sharif, Taimur & Abedin, Mohammad Zoynul, 2023. "COVID-19 and stock returns: Evidence from the Markov switching dependence approach," Research in International Business and Finance, Elsevier, vol. 64(C).
    20. Wang, Mengjiao & Liu, Jianxu & Yang, Bing, 2024. "Does the strength of the US dollar affect the interdependence among currency exchange rates of RCEP and CPTPP countries?," Finance Research Letters, Elsevier, vol. 62(PA).
    21. Guillermo Martínez-Flórez & Artur J. Lemonte & Germán Moreno-Arenas & Roger Tovar-Falón, 2022. "The Bivariate Unit-Sinh-Normal Distribution and Its Related Regression Model," Mathematics, MDPI, vol. 10(17), pages 1-26, August.
    22. Agbeyegbe, Terence D., 2015. "An inverted U-shaped crude oil price return-implied volatility relationship," Review of Financial Economics, Elsevier, vol. 27(C), pages 28-45.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tiu:tiucen:950a8cda-8f8c-43a9-a5c2-88ca22b891da. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Richard Broekman (email available below). General contact details of provider: http://center.uvt.nl .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.