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arXiv · 1612.07349

About tests of the "simplifying" assumption for conditional copulas

Alexis Derumigny·Jean-David Fermanian
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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 distribution 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.

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Alexis Derumigny, Jean-David Fermanian. 2016-12-21. About tests of the "simplifying" assumption for conditional copulas. https://arxiv.org/abs/1612.07349

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