About tests of the “simplifying” assumption for conditional copulas

Alexis Derumigny () and Jean-David Fermanian ()
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Alexis Derumigny: CREST; ENSAE
Jean-David Fermanian: CREST; ENSAE

No 2017-02, Working Papers from Center for Research in Economics and Statistics

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 pointwise 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.

Keywords: conditional copula; simplifying assumption; bootstrap (search for similar items in EconPapers)
Pages: 39 pages
Date: 2017-01-02
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (6)

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