The meta-elliptical distributions with given marginals
Journal of Multivariate Analysis
Goodness-of-fit tests for copulas
Journal of Multivariate Analysis
An Introduction to Copulas (Springer Series in Statistics)
An Introduction to Copulas (Springer Series in Statistics)
Copula model evaluation based on parametric bootstrap
Computational Statistics & Data Analysis
Some comments on goodness-of-fit tests for the parametric form of the copula based on L2-distances
Journal of Multivariate Analysis
Computational Statistics & Data Analysis
Efficient estimation of a semiparametric dynamic copula model
Computational Statistics & Data Analysis
A goodness-of-fit test for Archimedean copula models in the presence of right censoring
Computational Statistics & Data Analysis
On testing equality of pairwise rank correlations in a multivariate random vector
Journal of Multivariate Analysis
Identifying the attribute of joint demand in Chinese payment card market
International Journal of Electronic Finance
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A goodness of fit test for copulas based on Rosenblatt's transformation is investigated. This test performs well if the marginal distribution functions are known and are used in the test statistic. If the marginal distribution functions are unknown and are replaced by their empirical estimates, then the test's properties change significantly. This is shown in detail by simulation for special cases. A bootstrap version of the test is suggested and it is shown by simulation that it performs well. An empirical application of this test to daily returns of German assets reveals that a Gaussian copula is unsuitable to describe their dependence structure. A t"@n-copula with low degrees of freedom such as @n=4 or 5 fits the data in some cases.