Detecting departures from meta-ellipticity for multivariate stationary time series

Bücher Axel (), Jaser Miriam () and Min Aleksey ()
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Bücher Axel: Heinrich-Heine-University Düsseldorf
Jaser Miriam: Technical University of Munich
Min Aleksey: Technical University of Munich

Dependence Modeling, 2021, vol. 9, issue 1, 121-140

Abstract: A test for detecting departures from meta-ellipticity for multivariate stationary time series is proposed. The large sample behavior of the test statistic is shown to depend in a complicated way on the underlying copula as well as on the serial dependence. Valid asymptotic critical values are obtained by a bootstrap device based on subsampling. The finite-sample performance of the test is investigated in a large-scale simulation study, and the theoretical results are illustrated by a case study involving financial log returns.

Keywords: elliptical copula; empirical process; financial log returns; goodness-of-fit test; subsampling bootstrap (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:9:y:2021:i:1:p:121-140:n:6

DOI: 10.1515/demo-2021-0105

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