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- W2184078792 abstract "In recent years, stationary time series models based on copula functions became increasingly popular in econometrics to model nonlinear temporal and cross-sectional dependencies. Within these models, we consider the problem of testing the goodness-of-t of the parametric form of the underlying copula. Our approach is based on a dependent multiplier bootstrap and it can be applied to any stationary, strongly mixing time series. The method extends recent i.i.d. results by Kojadinovic, Yan and Holmes [I. Kojadinovic, Y. Yan and M. Holmes, Fast large sample goodness-of-t tests for copulas, Statistica Sinica 21 (2011), 841{871] and shares the same computational benets compared to methods based on a parametric bootstrap. The nite-sample" @default.
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- W2184078792 date "2014-01-01" @default.
- W2184078792 modified "2023-09-26" @default.
- W2184078792 title "tests for multivariate copula-based time series models" @default.
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