Goodness of Fit Tests for Copulas

Jean-David Fermanian
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Jean-David Fermanian: Crest

No 2003-34, Working Papers from Center for Research in Economics and Statistics

Abstract: This paper defines two distribution free goodness-of-fit test statistics for copulas and statestheir asymptotic distributions under some composite parametric assumptions. The results arestated formally in an independent identically distributed framework, and partially in timedependentframeworks. We provide a simulation study and an empirical example by studyingthe dependency between several couples of equity indices.

Date: 2003
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