Page 139 - Special Topic Session (STS) - Volume 2

STS474 Hideatsu T.
copula. Alternatively, we can use the distance between the fitted copula
and empirical copula. For nested Archimedean copulas, Clayton or
Gumbel-Hougaard copulas are favorable candidate with tail
dependence.
(iii) Diagnostic analysis: We can carry out some goodness-of-fit test for
copula using resampling techniques (Fermanian, 2013). Some graphical
diagnostic method would be desirable.

We will present some results of (ongoing) empirical analysis of financial data.

4. Discussion
To incorporate heterogeneity, exogenous explanatory variables X with
regression coefficients vector β could be introduced in the model. One could
consider vine copulas as well although their interpretation is not easy.

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