A0160
Title: Some tests of the simplified assumption for conditional copulae models
Authors: Jean-David Fermanian - Ensae-Crest (France) [presenting]
Alexis Derumigny - Ensae (France)
Abstract: Under the so-called ``simplified assumption'' (SA), conditional copulae do not depend on their conditioning subsets. We propose several nonparametric and parametric tests of this commonly used assumption. The former ones are based on some comparisons between empirical counterparts under or without (SA), or are based on a particular independence property. The latter ones are obtained though usual distances between nonparametrically and parametrically estimated distributions or densities. The consistency and the power of such tests are evaluated by simulation, through some adapted bootstrap procedures.
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