Two-sample testing for tail copulas with an application to equity indices

S.U. Can, John Einmahl, R.J.A. Laeven

Research output: Contribution to journalArticleScientificpeer-review


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.
Original languageEnglish
Pages (from-to)147-159
JournalJournal of Business & Economic Statistics
Issue number1
Publication statusPublished - Jan 2024


  • tail dependence
  • tail copula
  • two-sample testing
  • financial crisis
  • distribution-free testing
  • martingale transformation


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