B1562
Title: Two-sample testing for tail copulas with an application to equity indices
Authors: Umut Can - University of Amsterdam (Netherlands) [presenting]
Roger Laeven - University of Amsterdam (Netherlands)
John Einmahl - Tilburg University (Netherlands)
Abstract: A novel, general two-sample hypothesis testing procedure is established for testing the equality of tail copulas associated with bivariate data. More precisely, using a martingale transformation of a natural two-sample tail copula process, a test process is constructed, which is shown to converge to a standard Wiener process under the null hypothesis. Hence, a myriad of asymptotically distribution-free two-sample tests can be obtained from this test process. The good finite-sample behaviour of the procedure is demonstrated through Monte Carlo simulations. Using the new testing procedure, no evidence of a difference in the respective tail copulas is found for pairs of negative daily log returns of equity indices during and after the global financial crisis.
