We develop a test of equality between two dependence structures estimated through empirical copulas. We provide inference for independent or paired samples. The multiplier central limit theorem is used for calculating p-values of the Crameacute;r-von Mises test statistic. Finite sample properties...

It is shown that parametric bootstrap can be used for computing P-values of goodness-of-fit tests of multivariate time series parametric models. These models include Markovian models, GARCH models with non-Gaussian innovations, regime-switching models, as well as semi parametric models involving...

Test statistics for checking the independence between the innovations of several time series are developed. The time series models considered allow for general specifications for the conditional mean and variance functions that could depend on common explanatory variables. In testing for...

In this paper, using simulations, we compare specification procedures for testing the null hypothesis of a Gaussian distribution for the innovations of GARCH models. More precisely, Cramer-von Mises and Kolmogorov-Smirnov type statistics are computed for empirical processes based on the...

In view of applications to diagnostic tests of ARMA models, the asymptotic behavior of multivariate empirical and copula processes based on residuals of ARMA models is investigated. Multivariate empirical processes based on squared residuals and other functions of the residuals are also...