Testing the simplifying assumption in high-dimensional vine copulas
Work
Year: 2022
Type: article
Abstract: Testing the simplifying assumption in high-dimensional vine copulas is a difficult task. Tests must be based on estimated observations and check constraints on high-dimensional distributions. So far, ... more
Source: Electronic Journal of Statistics
Authors Malte S. Kurz, Fabian Spanhel
Cites: 35
Cited by: 5
Related to: 10
FWCI: 1.025
Citation percentile (by year/subfield): 67.59
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Peace, justice, and strong institutions
Open Access status: gold
APC paid (est): $675