About tests of the “simplifying” assumption for conditional copulas

Abstract

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 scheme. Some simulations illustrate the relevance of our results.

Keywords

• conditional copula
• simplifying assumption
• bootstrap
• 62g05
• 62g08
• 62g09