Change point detection in SCOMDY models

In this article, we consider the problem of testing for a copula parameter change in semiparametric copula-based multivariate dynamic models which cover ARMA-GARCH models. We construct the test statistics based on a pseudo MLE of the copula parameter and derive its limiting null distribution. Simulation results are provided for illustration. Copyright Springer-Verlag Berlin Heidelberg 2013

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Year of publication:	2013
Authors:	Na, Okyoung ; Lee, Jiyeon ; Lee, Sangyeol
Published in:	AStA Advances in Statistical Analysis. - Springer. - Vol. 97.2013, 3, p. 215-238
Publisher:	Springer
Subject:	Semiparametric copula \| Change point test \| Cusum test \| Pseudo maximum likelihood estimator

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010681342