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Goodness of Fit Tests for Copulas

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  • Jean-David Fermanian

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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.

Suggested Citation

  • Jean-David Fermanian, 2003. "Goodness of Fit Tests for Copulas," Working Papers 2003-34, Center for Research in Economics and Statistics.
    • Handle: RePEc:crs:wpaper:2003-34
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    Cited by:

    1. Yanqin Fan & Xiaohong Chen & Andrew Patton, 2004. "(IAM Series No 003) Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates," FMG Discussion Papers dp483, Financial Markets Group.
    2. Paul Doukhan & Jean-David Fermanian & Gabriel Lang, 2005. "Copulas of a Vector-Valued Stationary Weakly Dependent Process," Working Papers 2005-48, Center for Research in Economics and Statistics.
    3. Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation of copula-based semiparametric time series models," Journal of Econometrics, Elsevier, vol. 130(2), pages 307-335, February.
    4. Chen, Xiaohong & Fan, Yanqin & Patton, Andrew J., 2004. "Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates," LSE Research Online Documents on Economics 24681, London School of Economics and Political Science, LSE Library.
    5. Chen, Xiaohong & Fan, Yanqin, 2007. "A Model Selection Test For Bivariate Failure-Time Data," Econometric Theory, Cambridge University Press, vol. 23(3), pages 414-439, June.
    6. Casey Quinn, 2005. "Generalisable regression methods for costeffectiveness using copulas," Health, Econometrics and Data Group (HEDG) Working Papers 05/13, HEDG, c/o Department of Economics, University of York.
    7. Chen, Xiaohong & Fan, Yanqin, 2006. "Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 125-154.

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