Testing for relevant dependence change in financial data : a CUSUM copula approach
Tim Kutzker, Florian Stark, Dominik Wied
| Year of publication: |
2021
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|---|---|
| Authors: | Kutzker, Tim ; Stark, Florian ; Wied, Dominik |
| Published in: |
Empirical economics : a quarterly journal of the Institute for Advanced Studies. - Berlin : Springer, ISSN 1435-8921, ZDB-ID 1462176-9. - Vol. 60.2021, 4, p. 1875-1894
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| Subject: | Relevant change | Copula | Break testing | Bootstrap | CUSUM | Multivariate Verteilung | Multivariate distribution | Statistischer Test | Statistical test | Strukturbruch | Structural break | Bootstrap-Verfahren | Bootstrap approach | Zeitreihenanalyse | Time series analysis |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00181-019-01811-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012490683