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Detection of Structural Breaks in Copula Models

Author

Listed:
  • Brodsky, Boris

    () (Central Economic-Mathematical Institute, Russia)

  • Penikas, Henry

    () (Higher School of Economics, Russia)

  • Safaryan, Irina

    () (Russian-Armenian (Slavonic) State University)

Abstract

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

Suggested Citation

  • Brodsky, Boris & Penikas, Henry & Safaryan, Irina, 2009. "Detection of Structural Breaks in Copula Models," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 16(4), pages 3-15.
  • Handle: RePEc:ris:apltrx:0038
    as

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    File URL: http://pe.cemi.rssi.ru/pe_2009_4_03-15.pdf
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    References listed on IDEAS

    as
    1. Y. Malevergne & D. Sornette, 2003. "Testing the Gaussian copula hypothesis for financial assets dependences," Quantitative Finance, Taylor & Francis Journals, pages 231-250.
    2. W. Breymann & A. Dias & P. Embrechts, 2003. "Dependence structures for multivariate high-frequency data in finance," Quantitative Finance, Taylor & Francis Journals, pages 1-14.
    3. 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.
    4. Jean-David FERMANIAN & Olivier SCAILLET, 2003. "Nonparametric Estimation of Copulas for Time Series," FAME Research Paper Series rp57, International Center for Financial Asset Management and Engineering.
    5. Nikolay Nenovsky & S. Statev, 2006. "Introduction," Post-Print halshs-00260898, HAL.
    6. Rémillard, Bruno & Scaillet, Olivier, 2009. "Testing for equality between two copulas," Journal of Multivariate Analysis, Elsevier, vol. 100(3), pages 377-386, March.
    7. Y. Malevergne & D. Sornette, 2003. "Testing the Gaussian copula hypothesis for financial assets dependences," Quantitative Finance, Taylor & Francis Journals, pages 231-250.
    8. Genest, Christian & Rémillard, Bruno & Beaudoin, David, 2009. "Goodness-of-fit tests for copulas: A review and a power study," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 199-213, April.
    9. repec:sae:ecolab:v:16:y:2006:i:2:p:1-2 is not listed on IDEAS
    10. Penikas, Henry & Simakova, Varvara, 2009. "Interest Rate Risk Management Based on Copula-GARCH Models," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 13(1), pages 3-36.
    11. Kim, Gunky & Silvapulle, Mervyn J. & Silvapulle, Paramsothy, 2007. "Comparison of semiparametric and parametric methods for estimating copulas," Computational Statistics & Data Analysis, Elsevier, pages 2836-2850.
    12. Markus Junker & Angelika May, 2005. "Measurement of aggregate risk with copulas," Econometrics Journal, Royal Economic Society, vol. 8(3), pages 428-454, December.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Henry Penikas, 2016. "Copula-Based Univariate Time Series Structural Shift Identification Test," Papers 1609.05056, arXiv.org.
    2. repec:ris:apltrx:0326 is not listed on IDEAS
    3. Penikas, Henry, 2011. "Copula-Based Price Risk Hedging Models," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 22(2), pages 3-21.
    4. Penikas, H., 2010. "Financial Applications of Copula-Models," Journal of the New Economic Association, New Economic Association, issue 7, pages 24-44.

    More about this item

    Keywords

    Copula; structural break; Kolmogorov-Smirnov statistics; interest rates; MosPrime; LIBOR; EURIBOR;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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