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About tests of the “simplifying” assumption for conditional copulas

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Derumigny A., Fermanian J.-D.

Dependence Modeling

2017

tom 5

nr 1

154-197

We discuss the so-called “simplifying assumption” of conditional copulas in a general framework. We introduce several tests of the latter assumption for non- and semiparametric copula models. Some related test procedures based on conditioning subsets instead of point-wise events are proposed. The limiting distributions of such test statistics under the null are approximated by several bootstrap schemes, most of them being new. We prove the validity of a particular semiparametric bootstrap scheme. Some simulations illustrate the relevance of our results.

Ograniczanie wyników

1 Dependence Modeling

1 Derumigny A.

1 Fermanian J.-D.

1 2017

Wyniki wyszukiwania

About tests of the “simplifying” assumption for conditional copulas