The models for testing and dating breaks in stock returns and volatilities often rely on the restrictive assumption of common breaks. This assumption suggests that a shift occurred due to common innovations. Models under this assumption can only be estimated simultaneously. This assumption may...

This paper suggests a goodness-of-fit test for parametric families of Archimedean copulas for high dimensional distributions. The test statistic is based on the classical chi-square-statistic but has a nonstandard asymptotic distribution. Monte-Carlo simulations show that the test keeps the...