Out-of-Sample Comparison of Copula Specifications in Multivariate Density Forecasts

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Copulas in Econometrics (2014, methodology): “Diks et al. (2010) propose comparing copula-based models via their OOS log-likelihoods, using the theory of Giacomini & White (2006) to conduct inference.”
An Overview of the Goodness-of-Fit Test Problem for Copulas (2012, methodology): “To compare the fit of two potential parametric copulas, the same information criterion has been used in [28] to build a similar test statistics, but based on copula densities directly.”