Title	Testing Hypotheses for the Copula of Dynamic Models
Creator	Rémillard, Bruno
Publisher	Banff International Research Station for Mathematical Innovation and Discovery
Date Issued	2013-05-21
Description	The asymptotic behavior of the empirical copula constructed from residuals of stochastic volatility models is studied. It is shown that if the stochastic volatility matrix is diagonal, then the empirical copula process behaves like if the parameters were known, a remarkable property. However, this is not true in general. Applications for goodness-of-fit and detection of structural change in the copula of the innovations are discussed.
Extent	26 minutes
Subject	Mathematics; Statistics; Probability theory and stochastic processes
Type	Moving Image
File Format	video/mp4
Language	eng
Notes	Author affiliation: HEC Montréal
Series	BIRS Workshop Lecture Videos (Banff, Alta)
Date Available	2014-10-04
Provider	Vancouver : University of British Columbia Library
Rights	Attribution-NonCommercial-NoDerivs 2.5 Canada
DOI	10.14288/1.0044032
URI	http://hdl.handle.net/2429/50581
Affiliation	Non UBC
Peer Review Status	Unreviewed
Scholarly Level	Faculty
Rights URI	http://creativecommons.org/licenses/by-nc-nd/2.5/ca/
Aggregated Source Repository	DSpace

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