Testing for structural breaks in factor copula models

DOI10.1016/j.jeconom.2018.10.001zbMath1452.62388OpenAlexW2896253071MaRDI QIDQ1739863

Hans Manner, Florian Stark, Dominik Wied

Publication date: 29 April 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2018.10.001

zbMATH Keywords

simulated method of momentsfluctuation testfactor copula model

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Non-Markovian processes: hypothesis testing (62M07)

Related Items (5)

Testing and dating structural changes in copula-based dependence measures ⋮ Estimation and inference in factor copula models with exogenous covariates ⋮ ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH ⋮ Characterizing correlation matrices that admit a clustered factor representation ⋮ A monitoring procedure for detecting structural breaks in factor copula models

Uses Software

• bfa

Cites Work

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