Copula Tests Using Information Matrix

Rustam Ibragimov and Artem Prokhorov

Chapter 6 in Heavy Tails and Copulas:Topics in Dependence Modelling in Economics and Finance, 2017, pp 229-255 from World Scientific Publishing Co. Pte. Ltd.

Abstract: This chapter presents an application of copula robustness results discussed in Chapter 5. Specifically, we discuss tests of copula validity based on the information matrix equality. We consider tests that assume a parametric form for the marginals and those that use empirical marginal distributions.

Keywords: Heavy-Tailed Distribution; Copulas; Tail Dependence; Majorization Theory; Financial Contagion; Crises (search for similar items in EconPapers)
Date: 2017
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