“...This paper defines two distribution free goodness-of-fit test statistics for copulas. It states their asymptotic distributions under some composite parametric...”

“...We derive tests of stationarity for univariate time series by combining change‐point tests sensitive to changes in the contemporary distribution with tests...”

“...We study nonparametric estimators of conditional Kendall's tau, a measure of concordance between two random variables given some covariates. We prove...”

“...Weak convergence of the empirical copula process has been established by Deheuvels in the case of independent marginal distributions. Van der Vaart and Wellner...”

“...We discuss the so-called “simplifying assumption” of conditional copulas in a general framework. We introduce several tests of the latter assumption for non-...”

“...We propose a new platform of goodness-of-fit tests for copulas, based on empirical copula processes and nonparametric bootstrap counterparts. The standard...”

“...Conditional Kendall’s tau is a measure of dependence between two random variables, conditionally on some covariates. We assume a regression-type relationship...”

“...We introduce a general methodology to consistently estimate multidimensional ARCH models equation-by-equation, possibly with a very large number of parameters...”

“...In this paper, we characterize explicitly the first derivative of the Value at Risk and the Expected Shortfall with respect to portfolio allocations when...”

“...Existing simulation-based estimation methods are either general purpose but asymptotically inefficient or asymptotically efficient but only suitable for...”