Regime switching vine copula models for global equity and volatility indices

Fink, Holger; Klimova, Yulia; Czado, Claudia; Stöber, Jakob

doi:10.48550/arxiv.1604.05598

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2017

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“…T c ∞ (18) test statistic based on the L ∞ distance between the parameter of the conditional copula and the constant parameter of the simplified copula (resp. T c 2 (18)) (resp.…”

Section: A Notationsmentioning

confidence: 99%

About tests of the “simplifying” assumption for conditional copulas

Derumigny

Fermanian

2017

Dependence Modeling

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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.

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“…T c ∞ (18) test statistic based on the L ∞ distance between the parameter of the conditional copula and the constant parameter of the simplified copula (resp. T c 2 (18)) (resp.…”

Section: A Notationsmentioning

confidence: 99%

About tests of the “simplifying” assumption for conditional copulas

Derumigny

Fermanian

2017

Dependence Modeling

View full text Add to dashboard Cite

show abstract

Regime switching vine copula models for global equity and volatility indices

Cited by 1 publication

References 0 publications

About tests of the “simplifying” assumption for conditional copulas

About tests of the “simplifying” assumption for conditional copulas

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