Goodness-of-Fit Tests for Copulas of Multivariate Time Series
In this paper, we study the asymptotic behavior of the sequential empirical process and the sequential empirical copula process, both constructed from residuals of multivariate stochastic volatility models. Applications for the detection of structural changes and specification tests of the distr...
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| Format: | Article |
| Language: | English |
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MDPI AG
2017-03-01
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| Series: | Econometrics |
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| Online Access: | http://www.mdpi.com/2225-1146/5/1/13 |