When is a copula constant? A test for changing relationships
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- Fabio Busetti & Andrew Harvey, 2011. "When is a Copula Constant? A Test for Changing Relationships," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 9(1), pages 106-131, Winter.
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More about this item
KeywordsConcordance; quantile; rank correlation; stationarity test; tail dependence.;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-10-28 (All new papers)
- NEP-ECM-2008-10-28 (Econometrics)
- NEP-SEA-2008-10-28 (South East Asia)
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