Artem Prokhorov

Wanling Huang

English

Research Papers in Economics

(2006a): \Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspeci

(2006b): \Estimation of copula-based semiparametric time series models,&quot;

A goodness of  test for copulas based on Rosenblatt's transformation,&quot;

A new form of the information matrix test,&quot;

A semiparametric estimation procedure of dependence parameters in multivariate families of distributions,&quot;

An Introduction to Copulas,

Asymptotic eciency of the two-stage estimation method for copula-based models,&quot;

Asymptotic expansions of the information matrix test statistic,&quot;

Bootstrap Test for Dierence Between Means in Nonparametric Regression,&quot;

Bootstrap-based critical values for the information matrix test,&quot;

Copula goodness-of- testing: an overview and power comparison,&quot;

Correlation and dependence in risk management: properties and pitfalls,&quot;

Dependence structures for multivariate highfrequency data in

emillard (2008): \Validity of the parametric bootstrap for goodness-of- testing in semiparametric models,&quot; Annales de l'Institut Henri Poincare -

Fitting bivariate loss distributions with copulas,&quot;

Fonctions de r epartition  a n dimensions et leurs marges,&quot;

Goodness-of- procedures for copula models based on the probability integral transformation,&quot;

Goodness-of- test for copulas,&quot; Physica A: Statistical Mechanics and its Applications,

Goodness-of- tests for copulas,&quot;

Goodness-of- tests for copulas: A review and a power study,&quot;

Graphical methods for investigating the size and power of hypothesis tests,&quot;

In-sample or out-of-sample tests of predictability: Which one should we use?&quot;

Inferences on the Association Parameter in Copula Models for Bivariate Survival Data,&quot;

Kernel-based goodness-of- tests for copulas with  smoothing parameters,&quot;

Large Sample Theory of Pseudo-Maximum Likelihood Estimates in Semiparametric Models,&quot;

Likelihood-based estimation in a panel setting: robustness, redundancy and validity of copulas,&quot;

Maximum likelihood estimation of misspeci models,&quot;

Modelling asymmetric exchange rate dependence,&quot;

Modelling sample selection using Archimedean copulas,&quot;

Modelling the dierences in counted outcomes using bivariate copula models with application to mismeasured counts,&quot;

Multivariate models and dependence concepts,

New directions in information matrix testing: eigenspectrum tests,&quot; Working Paper, Martingale Research Corporation.

On a new goodness-of- process for families of copulas,&quot;

On the calculation of the information matrix test in the normal linear regression model,&quot;

Testing the Gaussian copula hypothesis for  assets dependences,&quot;

The asymptotic variance of semiparametric estimators,&quot;

The covariance matrix of the information matrix test,&quot;

The information matrix test : Simpli calculation via a score test interpretation,&quot;

The size bias of White's information matrix test,&quot;

Using copulae to bound the Value-at-Risk for functions of dependent risks,&quot;

A Goodness-of-fit Test for Copulas

http://alcor.concordia.ca/~aprokhor/papers/start.pdf

A Goodness-of-fit Test for Copulas

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Research Papers in Economics