About tests of the “simplifying” assumption for conditional copulas
Alexis Derumigny, Jean-David Fermanian (2017)
Dependence Modeling
Similarity:
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...