The Statistics Seminar speaker for Wednesday, May 10, 2017 is Jean-David Fermanian, Professor of Finance and Statistics at Ensae-Crest in Paris. Previously, he has been working for Natixis and BNP-Paribas as a senior quantitative analyst. His research topics cover financial econometrics, dependence modelling and credit risk models, particularly. He is particularly well-known for his contributions in the field of the statistical analysis of copulas.
Title: 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 pointwise events are proposed. The limiting distribution of such test statistics are assessed by several bootstrap schemes, most of them being new. We prove the validity of a particular semi-parametric bootstrap scheme. Some simulations illustrate the relevance of our results.
This is a joint work with Alexis Derumigny (Crest).