{"title":"Two-Sample Testing for Tail Copulas with an Application to Equity Indices","authors":"S.U. Can, John Einmahl, Roger Laeven","doi":"10.1080/07350015.2023.2166050","DOIUrl":null,"url":null,"abstract":"A novel, general two-sample hypothesis testing procedure is established for testing the equality of tail copulas associated with bivariate data. More precisely, using a martingale transformation of a natural two-sample tail copula process, a test process is constructed, which is shown to converge in distribution to a standard Wiener process. Hence, from this test process a myriad of asymptotically distribution-free two-sample tests can be obtained. The good finite-sample behavior of our procedure is demonstrated through Monte Carlo simulations. Using the new testing procedure, no evidence of a difference in the respective tail copulas is found for pairs of negative daily log-returns of equity indices during and after the global financial crisis.","PeriodicalId":50247,"journal":{"name":"Journal of Business & Economic Statistics","volume":"85 1","pages":"0"},"PeriodicalIF":2.9000,"publicationDate":"2023-02-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Business & Economic Statistics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1080/07350015.2023.2166050","RegionNum":2,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
A novel, general two-sample hypothesis testing procedure is established for testing the equality of tail copulas associated with bivariate data. More precisely, using a martingale transformation of a natural two-sample tail copula process, a test process is constructed, which is shown to converge in distribution to a standard Wiener process. Hence, from this test process a myriad of asymptotically distribution-free two-sample tests can be obtained. The good finite-sample behavior of our procedure is demonstrated through Monte Carlo simulations. Using the new testing procedure, no evidence of a difference in the respective tail copulas is found for pairs of negative daily log-returns of equity indices during and after the global financial crisis.
期刊介绍:
The Journal of Business and Economic Statistics (JBES) publishes a range of articles, primarily applied statistical analyses of microeconomic, macroeconomic, forecasting, business, and finance related topics. More general papers in statistics, econometrics, computation, simulation, or graphics are also appropriate if they are immediately applicable to the journal''s general topics of interest. Articles published in JBES contain significant results, high-quality methodological content, excellent exposition, and usually include a substantive empirical application.