Ökonometrische Modellierung
Statistische Inferenz für Copulas
We suggest a goodness-of-fit test for parametric families of Archimedean copulas
for high dimensional distributions. The test
statistic is based on the classical
chi-square-statistic but has a nonstandard
asymptotic distribution. Monte-Carlo
simulations show that
the test keeps the nominal size and has high power to detect misspeci-
fied copulas. An empirical illustration on the return distribution of the
USA S&P500 Chemical stocks is given. The results have interesting implications
for risk and portfolio management.
