About tests of the "simplifying" assumption for conditional copulas

Alexis Derumigny*, Jean David Fermanian

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

4 Citations (Scopus)
4 Downloads (Pure)

Abstract

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.

Original languageEnglish
Pages (from-to)154-197
Number of pages44
JournalDependence Modeling
Volume5
Issue number1
Early online date6 Sep 2017
DOIs
Publication statusE-pub ahead of print/First online - 6 Sep 2017
Externally publishedYes

Fingerprint

Copula
Bootstrap
Statistics
Copula Models
Semiparametric Model
Limiting Distribution
Conditioning
Test Statistic
Null
Subset
Simulation
Relevance
Framework

Keywords

  • Bootstrap
  • Conditional copula
  • Simplifying assumption

Cite this

Derumigny, Alexis ; Fermanian, Jean David. / About tests of the "simplifying" assumption for conditional copulas. In: Dependence Modeling. 2017 ; Vol. 5, No. 1. pp. 154-197.
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About tests of the "simplifying" assumption for conditional copulas. / Derumigny, Alexis; Fermanian, Jean David.

In: Dependence Modeling, Vol. 5, No. 1, 06.09.2017, p. 154-197.

Research output: Contribution to journalArticleAcademicpeer-review

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