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BY 4.0 license Open Access Published by De Gruyter Open Access July 23, 2021

Detecting departures from meta-ellipticity for multivariate stationary time series

Axel Bücher, Miriam Jaser and Aleksey Min
From the journal Dependence Modeling


A test for detecting departures from meta-ellipticity for multivariate stationary time series is proposed. The large sample behavior of the test statistic is shown to depend in a complicated way on the underlying copula as well as on the serial dependence. Valid asymptotic critical values are obtained by a bootstrap device based on subsampling. The finite-sample performance of the test is investigated in a large-scale simulation study, and the theoretical results are illustrated by a case study involving financial log returns.

MSC 2010: 62H15; 62M10


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Received: 2021-02-23
Accepted: 2021-06-15
Published Online: 2021-07-23

© 2021 Axel Bücher et al., published by De Gruyter

This work is licensed under the Creative Commons Attribution 4.0 International License.

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