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.

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pointwise events conditioning subsets semiparametric bootstrap test procedures non limiting test statistics socalled simplifying assumption of conditional copulas

Derumigny Alexis,Fermanian Jean-David,.About tests of the “simplifying” assumption for conditional copulas. 5 (1),.

Derumigny Alexis,Fermanian Jean-David,"About tests of the “simplifying” assumption for conditional copulas" 5

Derumigny Alexis,Fermanian Jean-David,"About tests of the “simplifying” assumption for conditional copulas"