中山大学岭南学术论坛－金融学系列Seminar

报告题目：Smooth Tests of Copula Specifications

主讲嘉宾：林娟(新加坡国立大学风险管理研究所博士后)

时 间：2013年11月15日(周五)PM14:30-16:00

地 点：MBA楼201室

语 言：中文

摘要：

We present a family of smooth tests for the goodness of fit of semiparametric multivariate copula models. The proposed tests are distribution free and can be easily implemented. They are diagnostic and constructive in the sense that when a null distribution is rejected, the test provides useful pointers to alternative copula distributions. We then propose a method of copula density construction, which can be viewed as a multivariate extension of Efron and Tibshirani (1996). We further generalize our methods to dynamic copula models of Chen and Fan (2006). We report extensive Monte Carlo simulations and three empirical examples to illustrate the effectiveness and usefulness of our method.

个人简介：

Juan Lin is a research fellow in Risk Management Institute, National University of Singapore. She received her Ph.D. from Beijing Normal University in 2011. During 2009.7-2010.12, she visited Texas A&M University. Her research focuses on nonparametric and semiparametric estimation methods and model specification tests. She has published one joint paper in the Journal of Business & Economic Statistics (JBES) and another joint paper in Advances in Econometrics. She is also revising a joint paper for JBES.