Two-Sample Testing for Tail Copulas with an Application to Equity Indices

A novel, general two-sample hypothesis testing procedure is established for the equality of tail copulas associated with bivariate data. More precisely, using an ingenious transformation a natural copula process, test process constructed, which shown to converge in distribution standard Wiener process. Hence, from this myriad asymptotically distribution-free tests can be obtained. The good finite-sample behavior our demonstrated through Monte Carlo simulations. Using new procedure, no evidence difference respective found pairs negative daily log-returns equity indices during and after global financial crisis.