Goodness-of-fit Procedures for Copula Models Based on the Integral Probability Transformation

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National Centre of Competence in Research Financial Valuation and Risk Management (2005, methodology): “In particular in the context of gof tests for copulas they show that the sequence associated with the empirical copula is regular for the parametric copula family of the null hypothesis (Genest and Rémillard [16] Proposition 4.2).”
Global Financial Crisis, Extreme Interdependences, and Contagion Effects: The Role of Economic Structure? (2011, methodology): “The second test developed by Genest et al. (2006) is based on the Kendall s process.”
Goodness-of-fit tests for copulas: A review and a power study (2006, background): “The asymptotic normality of the resulting estimator ˆ θ is established by Genest et al. (1995) , and by Shih and Louis (1995) in the presence of censorship.”