Testing for Constant Central Asymmetry Between Two Copulas
摘要
We develop a test of constant central asymmetry between two copulas estimated through their empirical counterpart. We provide inference under standard assumptions for stationary time series. The tie-break bootstrap is used for calculating p-values of the proposed Cramér–von Mises test statistic. Finite sample properties are assessed with Monte Carlo experiments. We apply the testing procedure to the US portfolio industry returns during the subprime crisis.