GoF Tests for Copulas

genkideska · September 9th, 2005, 1:08 pm

has anybody experience with Goodness of Fit Tests for Copulas, especially the one ofChen, Fan and Patton (2003)Fermarnian (2003)Genest, Quessy and Rémillard (2005)I appreciate and any helpfull comment which test is most robust if anybody has used them...

riadh007 · October 18th, 2008, 4:54 am

any help please

pcotton · October 21st, 2008, 11:33 pm

I found myself cleaning up and using some of Patton's code here atton_copula_toolbox">http://www.financialmathematics.com/wik ... la_toolbox. Not sure if that helps at all. Let me know if you come across decent code for tests of trivariate copulas. Peter

pcotton · October 21st, 2008, 11:36 pm

Perhaps someone could tell me how to override interpretation of a colon as a smiley face! Second attempt: http://www.financialmathematics.com/wik ... la_toolbox or just google "finmath patton"