Do stock returns have an Archimedean copula?

The flexible class of Archimedean copulas plays an important role in multivariate statistics. While there is a large number of goodness-of-fit tests for copulas and parametric families of copulas, the question if a given data set belongs to an arbitrary Archimedean copula or not has not yet received much attention in the literature. This paper suggests a new, straightforward method to test whether a copula is an Archimedean copula without the need to specify its parametric family. We conduct Monte Carlo simulations to assess the power of the test. The approach is applied to (bivariate) joint distributions of stock asset returns. We find that, in general, stock returns may have Archimedean copulas.