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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

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

CUSUM-Type testing for changing parameters in a spatial autoregressive model of stock returns

Wied, Dominik - 2011

Persistent link: https://www.econbiz.de/10009379646

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

Stochastische Prozesse : verständliche Einführung für Statistiker und Datenwissenschaftler

Webel, Karsten - 2012

Persistent link: https://www.econbiz.de/10014009105

A Nonparametric Test for a Constant Correlation Matrix

Wied, Dominik - 2014

We propose a nonparametric procedure to test for changes in correlation matrices at an unknown point in time. The new test requires constant expectations and variances, but only mild assumptions on the serial dependence structure and has considerable power in finite samples. We derive the...

Persistent link: https://www.econbiz.de/10013061593