About tests of the “simplifying” assumption for conditional copulas

Derumigny Alexis () and Fermanian Jean-David ()
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Derumigny Alexis: ENSAE, 3 avenue Pierre-Larousse, 92245 Malakoff cedex, France
Fermanian Jean-David: ENSAE, J120, 3 avenue Pierre-Larousse, 92245 Malakoff cedex, France

Dependence Modeling, 2017, vol. 5, issue 1, 154-197

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.

Keywords: conditional copula; simplifying assumption; bootstrap (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:5:y:2017:i:1:p:154-197:n:11

DOI: 10.1515/demo-2017-0011

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