International College of Economics and Finance

Research seminar by Artem Prokhorov (Concordia University): Goodness-of-Fit Test for Copulas

Thursday, June 9 at 4.30 pm International College of Economics and Finance and Faculty of Economics held joint Research seminar.
Venue: Pokrovski Bulvar, 11, Room Zh-822
Speaker:  Artem Prokhorov (Concordia University)
Theme: «Goodness-of-Fit Test for Copulas» (joint with Wanling Huang) (pdf version)


Abstract: We propose a new rank-based goodness-of- t test for copulas. It uses the information matrix equality and so relates to the White (1982) speci cation test. The test avoids parametric speci cation of marginal distributions, it does not involve kernel weighting, bandwidth selection or any other strategic choices, it is asymptotically pivotal with a standard distribution and simple to compute compared to available alternatives. The nite-sample size of this type of tests is known to deviate from their nominal size based on asymptotic critical values, and bootstrapping critical values could be a preferred alternative. A power study shows that, in a bivariate setting, the test has reasonable properties compared to its competitors. We conclude with an application in which we apply the test to two stock indices.

Everyone interested is welcome to attend!

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