# A goodness-of-fit test for regular vine copula models

@article{Schepsmeier2013AGT, title={A goodness-of-fit test for regular vine copula models}, author={Ulf Schepsmeier}, journal={Econometric Reviews}, year={2013}, volume={38}, pages={25 - 46} }

ABSTRACT We introduce a new goodness-of-fit test for regular vine (R-vine) copula models, a very flexible class of multivariate copulas based on a pair-copula construction (PCC). The test arises from White’s information matrix test and extends an existing goodness-of-fit test for copulas. The corresponding critical value can be approximated by asymptotic theory or simulation. The simulation based test shows excellent performance with regard to observed size and power in an extensive simulation…

## 26 Citations

Efficient goodness-of-fit tests in multi-dimensional vine copula models

- Mathematics
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We introduce a new goodness-of-fit test for regular vine (R-vine) copula models, a flexible class of multivariate copulas based on a pair-copula construction (PCC). The test arises from the…

Efficient information based goodness-of-fit tests for vine copula models with fixed margins: A comprehensive review

- Computer Science, MathematicsJ. Multivar. Anal.
- 2015

A new goodness-of-fit test for regular vine (R-vine) copula models, a flexible class of multivariate copulas based on a pair-copula construction (PCC), arises from the information matrix ratio and assumes fixed margins.

Generalized information matrix tests for copulas

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In the first part of this thesis we propose a novel semiparametric approach to perform quantile regression using D-vine copulas, a subclass of the flexible class of vine copula models. Various…

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Abstract This paper constructs a composite leading index for business cycle prediction based on vine copulas that capture the complex pattern of dependence among individual predictors. This approach…

Pair-Copula Constructions for Financial Applications: A Review

- Mathematics
- 2016

This survey reviews the large and growing literature on the use of pair-copula constructions (PCCs) in financial applications. Using a PCC, multivariate data that exhibit complex patterns of…

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Standard models for capital requirements restrict the correlation between different risk factors to the linear measure and do not consider undertaking-specific parameters. We propose a comprehensive…

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An estimation scheme taking the most of recent developments in copula theory is developed and the concept of Shapley value is used to derive new sensitivity indices, which makes the interpretation of Borgonovo's indices much easier.

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- Economics, Business
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ABSTRACT We use regular vine (r-vine), canonical vine (c-vine) and drawable vine (d-vine) copulas to examine the dependence risk characteristics of three 20-stock portfolios from the retail,…

Confirmatory factor analysis: Model testing of financial ratio's with decision support systems approach

- 2021

Received Jun 5, 2020 Revised Nov 25, 2020 Accepted Jan 23, 2021 The decision support systems approach can be developed into both computer-based and quantitative analysis tools. This research uses a…

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