Testing for relevant dependence change in financial data: a CUSUM copula approach
Author:
Funder
DFG
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Social Sciences (miscellaneous),Mathematics (miscellaneous),Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00181-019-01811-4.pdf
Reference15 articles.
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2. Berkson J (1938) Some difficulties of interpretation encountered in the application of the chi-square test. J Am Stat Assoc 33:526–536
3. Brodsky B, Penikas H, Safaryan I et al (2009) Detection of structural breaks in copula models. Appl Econom 16(4):3–15
4. Bücher A, Ruppert M (2013) Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique. J Multivar Anal 116:208–229
5. Bücher A, Kojadinovic I, Rohmer T, Segers J (2014) Detecting changes in cross-sectional dependence in multivariate time series. J Multivar Anal 132:111–128
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