Detection of Structural Breaks in Copula Models
The paper presents the research results on detection of structural breaks in copula models of multivariate time-series. A nonparametric method of structural break identification and estimation is used and its asymptotic characteristics (probabilities of the I and II-type errors, probability of estimation error) are analyzed. Simulation test results applied to Clayton and Gumbel copulas are presented and discussed
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"Testing the Gaussian Copula Hypothesis for Financial Assets Dependences,"
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- repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
- Christian Genest & Jean-François Quessy & Bruno Rémillard, 2006. "Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 33(2), pages 337-366.
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