Detection of Structural Breaks in Copula Models

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

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Year of publication:	2009
Authors:	Brodsky, Boris ; Penikas, Henry ; Safaryan, Irina
Published in:	Applied Econometrics. - Publishing House "SINERGIA PRESS". - Vol. 16.2009, 4, p. 3-15
Publisher:	Publishing House "SINERGIA PRESS"
Subject:	Copula \| structural break \| Kolmogorov-Smirnov statistics \| interest rates \| MosPrime \| LIBOR \| EURIBOR

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Extent:	application/pdf
Type of publication:	Article
Language:	French
Classification:	C12 - Hypothesis Testing ; c46 ; E43 - Determination of Interest Rates; Term Structure Interest Rates
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009018538