Change analysis of a dynamic copula for measuring dependence in multivariate financial data
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Publication:3564811
DOI10.1080/14697680902933041zbMath1203.91311OpenAlexW2067231335MaRDI QIDQ3564811
Publication date: 26 May 2010
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://halshs.archives-ouvertes.fr/halshs-00368334/file/guegan-_zhang_QF09.pdf
stochastic processesextreme value theoryfinancial marketsfinancial time seriesstatistical methodsrisk managementmathematical modelsextreme risk and insurance
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Related Items (13)
Change point detection in SCOMDY models ⋮ Dynamic bivariate normal copula ⋮ A new time-varying optimal copula model identifying the dependence across markets ⋮ Testing and dating structural changes in copula-based dependence measures ⋮ Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique ⋮ A review of copula models for economic time series ⋮ Copula-based semiparametric models for multivariate time series ⋮ Asymptotic properties of pseudo maximum likelihood estimators and test in semi-parametric copula models with multiple change points ⋮ Copula parameter change test for nonlinear AR models with nonlinear GARCH errors ⋮ Monitoring test for stability of copula parameter in time series ⋮ Change point detection in copula ARMA–GARCH Models ⋮ A semiparametric maximum likelihood ratio test for the change point in copula models ⋮ Age-specific copula-AR-GARCH mortality models
Cites Work
- Common factors in conditional distributions for bivariate time series
- Goodness-of-fit tests for copulas
- On the rate of approximations for maximum likelihood tests in change-point models
- Empirical estimation of tail dependence using copulas: application to Asian markets
- A new look at the statistical model identification
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