A monitoring procedure for detecting structural breaks in factor copula models

DOI10.1515/snde-2019-0081OpenAlexW3072153575MaRDI QIDQ2700563

Hans Manner, Florian Stark, Dominik Wied

Publication date: 27 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2019-0081

zbMATH Keywords

value at risksimulated method of momentsfactor copula modelmonitoring procedure

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Estimation and inference in factor copula models with exogenous covariates

Uses Software

• CAViaR

Cites Work

• Detecting changes in cross-sectional dependence in multivariate time series
• Factor copula models for multivariate data
• Monitoring test for stability of copula parameter in time series
• Monitoring correlation change in a sequence of random variables
• Sequential monitoring of the tail behavior of dependent data
• Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models
• Multiple break detection in the correlation structure of random variables
• Testing for structural breaks in factor copula models
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Vines -- a new graphical model for dependent random variables.
• Hierarchies of Archimedean copulas
• MOSUM tests for parameter constancy
• Monitoring Structural Change
• A Likelihood Ratio Approach to Sequential Change Point Detection for a General Class of Parameters
• Simulated Method of Moments Estimation for Copula-Based Multivariate Models
• Monitoring Parameter Constancy with Endogenous Regressors

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