Ye, Wuyi; Liu, Xiaoquan; Miao, Baiqi - In: European Journal of Operational Research 222 (2012) 1, pp. 96-103
In this paper, we first determine the existence of structural changes in the dependence between time series of equity index returns of two markets using the change point testing method. The method is based on Archimedean copula functions, which are able to comprehensively describe dependence...