A simple non-parametric goodness-of-fit test for elliptical copulas

Jaser Miriam (), Haug Stephan () and Min Aleksey ()
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Jaser Miriam: Chair of Mathematical Finance, Technical University of Munich, Parkring 11-13, 85748 Garching, Germany
Haug Stephan: Chair of Mathematical Statistics, Technical University of Munich, Parkring 11-13, 85748 Garching, Germany
Min Aleksey: Chair of Mathematical Finance, Technical University of Munich, Parkring 11-13, 85748 Garching, Germany

Dependence Modeling, 2017, vol. 5, issue 1, 330-353

Abstract: In this paper, we propose a simple non-parametric goodness-of-fit test for elliptical copulas of any dimension. It is based on the equality of Kendall’s tau and Blomqvist’s beta for all bivariate margins. Nominal level and power of the proposed test are investigated in a Monte Carlo study. An empirical application illustrates our goodness-of-fit test at work.

Keywords: Blomqvist’s beta; elliptical copulas; goodness-of-fit test; Kendall’s tau (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:5:y:2017:i:1:p:330-353:n:20

DOI: 10.1515/demo-2017-0020

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