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Asymptotically Distribution-Free Goodness-of-Fit Testing for Tail Copulas
Can, Sami - 2014
Let (X1, Y1), … , (Xn, Yn) be an i.i.d. sample from a bivariate distribution function that lies in the max-domain of attraction of an extreme value distribution. The asymptotic joint distribution of the standardized component-wise maxima max( Xi) and max(Yi) is then characterized by the...
Persistent link: https://www.econbiz.de/10013051730
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Goodness-of-fit test for specification of semiparametric copula dependence models
Zhang, Shulin; Okhrin, Ostap; Zhou, Qian M.; Song, … - 2013
This paper concerns goodness-of-fit test for semiparametric copula models. Our contribution is two-fold: we first propose a new test constructed via the comparison between "in-sample" and "out-of-sample" pseudolikelihoods, which avoids the use of any probability integral transformations. Under...
Persistent link: https://www.econbiz.de/10009789426
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Permutation-based tests for discontinuities in event studies
Bugni, Federico A.; Li, Jia; Li, Qiyuan - In: Quantitative economics : QE ; journal of the … 14 (2023) 1, pp. 37-70
We propose using a permutation test to detect discontinuities in an underlying economic model at a known cutoff point. Relative to the existing literature, we show that this test is well suited for event studies based on time‐series data. The test statistic measures the distance between the...
Persistent link: https://www.econbiz.de/10014306351
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A Tale of Two Time Scales : Applications in Nonparametric Hawkes Processes With Ito Semimartingale Baseline
Yu, Seunghyeon; Potiron, Yoann - 2022
estimates and truncated Two Scales Realized Volatility of these estimates, together with its central limit theory and feasible … statistics. As a byproduct, we provide estimation and feasible limit theory of the branching ratio (i.e. the L1-norm of the …-varying baseline, and for the absence of Brownian diffusion in the baseline. Simulation studies corroborate the theory, and document …
Persistent link: https://www.econbiz.de/10013403725
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Asymptotically distribution-free goodness-of-fit testing for tail copulas
Can, Sami Umut; Einmahl, John H. J.; Khmaladze, Estate V.; … - 2014
Persistent link: https://www.econbiz.de/10011283328
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Two-Sample Testing for Tail Copulas with an Application to Equity Indices
Can, Sami; Einmahl, John H. J.; Laeven, Roger J. A. - 2021
A novel, general two-sample hypothesis testing procedure is established for testing the equality of tail copulas associated with bivariate data. More precisely, using an ingenious transformation of a natural two-sample tail copula process, a test process is constructed, which is shown to...
Persistent link: https://www.econbiz.de/10013220179
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Weighted Approximations of Tail Copula Processes with Application to Testing the Multivariate Extreme Value Condition
Einmahl, John H. J.; de Haan, Laurens; Li, Deyuan - 2005
Consider n i.i.d. random vectors on R2, with unknown, common distribution function F. Under a sharpening of the extreme value condition on F, we derive a weighted approximation of the corresponding tail copula process. Then we construct a test to check whether the extreme value condition holds...
Persistent link: https://www.econbiz.de/10014069048
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Out-of-sample comparison of copula specifications in multivariate density forecasts
Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008
We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...
Persistent link: https://www.econbiz.de/10011377261
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Non-Parametric Weighted Tests for Independence Based on Empirical Copula Process
Medovikov, Ivan - 2015
We propose a class of flexible non-parametric tests for the presence of dependence between components of a random vector based on weighted Cramér-von Mises functionals of the empirical copula process. The weights act as a tuning parameter and are shown to significantly influence the power of...
Persistent link: https://www.econbiz.de/10013026399
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Out-of-Sample Comparison of Copula Specifications in Multivariate Density Forecasts
Diks, Cees G. H.; Panchenko, Valentyn; van Dijk, Dick J. C. - 2011
We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...
Persistent link: https://www.econbiz.de/10014047091