Wavelet analysis is used to construct a rank-based estimator of a copula density. The procedure, which can be easily implemented with ready-to-use wavelet packages, is based on an algorithm that handles boundary effects automatically. The resulting estimator provides a non-parametric benchmark...

Many proposals have been made recently for goodness-of-fit testing of copula models. After reviewing them briefly, the authors concentrate on "blanket tests", i.e., those whose implementation requires neither an arbitrary categorization of the data nor any strategic choice of smoothing...