Testing Goodness of Fit for Parametric Families of Copulas—Application to Financial Data

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Hierarchies of Archimedean copulas (2010, background): “A number of empirical papers have shown that Gaussian copulas do not fit return data well (Mashal and Zeevi 2002 , Dobric and Schmid 2005 ).”
Copula goodness-of-fit testing: an overview and power comparison (2009, methodology): “The parametric bootstrap procedure used in Genest et al. (2006a) is adopted, the validity of which is established in Genest and Rémillard (2008).”
Goodness-of-Fit Tests for Copulas of Multivariate Time Series (2017, unknown): “In many applications so far, the serial dependence problem is either ignored, i.e., the data are not “filtered” to remove serial dependence, as in Dobrić and Schmid [5], Dobrić and Schmid [6] and Kole et al. [7], or the data are “filtered” but the potential inferential problems of using Econometri”
Goodness-of-fit tests for parametric families of Archimedean copulas (2008, methodology): “Others introduce multivariate tests based on the 2 statistic, such as Dobrić and Schmid (2005).”