Three semiparametric methods for estimating dependence parameters in copula models are compared, namely maximum pseudo-likelihood estimation and the two method-of-moment approaches based on the inversion of Spearman's rho and Kendall's tau. For each of these three asymptotically normal...

A new class of tests of extreme-value dependence for bivariate copulas is proposed. It is based on the process comparing the empirical copula with a natural nonparametric rank-based estimator of the unknown copula under extreme-value dependence. A multiplier technique is used to compute...