Conditional empirical copula processes and generalized dependence\n measures

2020/08/21 by Alexis Derumigny, Derumigny, Alexis, Jean‐David Fermanian +1
Economics, Econometrics and Finance · Mathematics · #62G05 #62G09 (Secondary) #62G30 (Primary) 62H20 #FOS: Mathematics #Financial Risk and Volatility Modeling #Statistical Methods and Inference #Statistics Theory (math.ST) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2008.09480

openalex publication_date 2020/08/21 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We study the weak convergence of conditional empirical copula processes, when\nthe conditioning event has a nonzero probability. The validity of several\nbootstrap schemes is stated, including the exchangeable bootstrap. We define\ngeneral - possibly conditional - multivariate dependence measures and their\nestimators. By applying our theoretical results, we prove the asymptotic\nnormality of some estimators of such dependence measures.\n

Citations

• ON THE METHOD OF PAIRED COMPARISONS
• MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*

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