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...

In this paper, we extend copula-based univariate time series models studied in Chen & Fan (2006) to multivariate time series. Doing so, we tackle at the same time serial dependence as well as interdependence between several time series. The proposed methodology is totally different from the...

In this paper, we consider non-stationary response variables and covariates, where the marginal distributions and the associated copula may be time-dependent. We propose estimators for the unknown parameters and we establish the limiting distribution of the estimators of the copula and the...