Brodsky, Boris; Penikas, Henry; Safaryan, Irina - National Research University Higher School of Economics - 2012
This paper aims at presenting the research results of revealing a structural shift in copula-models of multivariate … time-series. A nonparametric method of structural shift identification and estimation is used. The asymptotical …. The empirical part of the paper is devoted to structural shift identification for multivariate time series of interest …