@techreport{65a9e694665d4671aaf14e2093fcec17,

title = "Two-Sample Testing for Tail Copulas with an Application to Equity Indices",

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 an ingenious 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.",

keywords = "Tail dependence, Tail copula, two-sample testing, financial crisis, distribution-free testing, martingale transformation",

author = "S.U. Can and John Einmahl and Roger Laeven",

note = "CentER Discussion Paper Nr. 2021-017",

year = "2021",

language = "English",

volume = "2021-017",

series = "CentER Discussion Paper",

publisher = "CentER, Center for Economic Research",

type = "WorkingPaper",

institution = "CentER, Center for Economic Research",

}