Is a Normal Copula the Right Copula?

Amengual, D; Sentana, E

Amengual, D (corresponding author), CEMFI, Casado del Alisal 5, E-28014 Madrid, Spain.

JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2020; 38 (2): 350

Abstract

We derive computationally simple and intuitive expressions for score tests of Gaussian copulas against generalized hyperbolic alternatives, including ......

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