It has been shown that, despite being consistent and in some cases efficient, maximum pseudo-likelihood (MPL) estimation for copula models overestimates the level of dependence, especially for small samples with a low level of dependence. This is especially relevant in finance and insurance...

GMM-based Wald tests tend to overreject when used for small samples, mainly due to inaccurate estimation of the weighting matrix. This article proposes applying the shrinkage method to address this problem. Using a possibly-misspecified factor model, the shrinkage method can provide a good...