Na, Okyoung; Lee, Jiyeon; Lee, Sangyeol - In: AStA Advances in Statistical Analysis 97 (2013) 3, pp. 215-238
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....
