Now showing items 1-2 of 2

    • Goodness-of-fit tests in conditional duration models 

      Meintanis, Simos G.; Milošević, Bojana; Obradović, Marko (Springer, 2020)
      We propose specification tests for the innovation distribution in conditional duration models. The new tests are based either on the cumulative distribution function, or on exponential transforms such as the Laplace transform ...
    • Score tests for covariate effects in conditional copulas 

      Gijbels, Irène; Veraverbeke, Noël; Omelka, Marek; Pesta, Michal (Elsevier, 2017)
      We consider copula modeling of the dependence between two or more random variables in the presence of a multivariate covariate. The dependence parameter of the conditional copula possibly depends on the value of the covariate ...