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Detecting structural breaks in factor copula models and in vectors of dependence measures
Stark, Florian - 2019
Persistent link: https://www.econbiz.de/10012061878
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A monitoring procedure for detecting structural breaks in factor copula models
Manner, Hans; Stark, Florian; Wied, Dominik - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 4, pp. 171-192
Persistent link: https://www.econbiz.de/10012657681
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Testing for structural breaks in factor copula models
Manner, Hans; Stark, Florian; Wied, Dominik - In: Journal of econometrics 208 (2019) 2, pp. 324-345
Persistent link: https://www.econbiz.de/10012145023
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Model and moment selection in factor copula models
Duan, Fang; Manner, Hans; Wied, Dominik - In: Journal of financial econometrics 20 (2022) 1, pp. 45-75
Persistent link: https://www.econbiz.de/10012878186
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A fluctuation test for constant Spearman’s rho
Wied, Dominik; Dehling, Herold; Kampen, Maarten W. van; … - 2011
Persistent link: https://www.econbiz.de/10009155239
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Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models
Kaldorf, Matthias; Wied, Dominik - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10013334611
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Consistent estimation of multiple breakpoints in dependence measures
Borsch, Marvin; Mayer, Alexander; Wied, Dominik - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 695-706
Persistent link: https://www.econbiz.de/10015053446
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Estimation and inference in factor copula models with exogenous covariates
Mayer, Alexander; Wied, Dominik - In: Journal of econometrics 235 (2023) 2, pp. 1500-1521
Persistent link: https://www.econbiz.de/10014471408