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Testing For Equality Between Two Copulas

  • Bruno Rémillard

    (HEC Montréal)

  • Olivier Scaillet

    (University of Geneva and Swiss Finance Institute)

We develop a test of equality between two dependence structures estimated through empirical copulas. We provide inference for independent or paired samples. The multiplier central limit theorem is used for calculating p-values of the Cram´er-von Mises test statistic. Finite sample properties are assessed with Monte Carlo experiments. We apply the testing procedure on empirical examples in finance, psychology, insurance and medicine.

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File URL: http://ssrn.com/abstract=1014550
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Paper provided by Swiss Finance Institute in its series Swiss Finance Institute Research Paper Series with number 07-24.

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Length: 24 pages
Date of creation: Jun 2006
Date of revision:
Handle: RePEc:chf:rpseri:rp0724
Contact details of provider: Web page: http://www.SwissFinanceInstitute.ch
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