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A multivariate linear rank test of independence based on a multiparametric copula with cubic sections
Mangold, Benedikt - 2015
This paper generalizes the locally optimal linear rank test based on copula from Shirahata (1974) resp. Guillén and …
Persistent link: https://www.econbiz.de/10011333620
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A multivariate rank test of independence based on a multiparametric polynomial copula
Mangold, Benedikt - 2015
This paper introduces a copula based multivariate rank test for independence extending existing approaches from … literature to p dimensions. Then, a multiparametric p-dimensional generalization of the FGM copula is provided that can model the … copulas. The independence copula is nested in this family if and only if every parameter is zero. In this case, a popular way …
Persistent link: https://www.econbiz.de/10011620420
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Testing for multiple structural breaks in multivariate long memory time series
Sibbertsen, Philipp; Wenger, Kai Rouven; Wingert, Simon - 2020
This paper considers estimation and testing of multiple breaks that occur at unknown dates in multivariate long-memory time series. We propose a likelihood ratio based approach for estimating breaks in the mean and the covariance of a system of long-memory time series. The limiting distribution...
Persistent link: https://www.econbiz.de/10012313634
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Testing and Dating Structural Breaks in Generalized Linear Multivariate Models for Stock Market Contagion
Adesanya, Oladunni - 2020
The models for testing and dating breaks in stock returns and volatilities often rely on the restrictive assumption of common breaks. This assumption suggests that a shift occurred due to common innovations. Models under this assumption can only be estimated simultaneously. This assumption may...
Persistent link: https://www.econbiz.de/10014096507
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Fitting high-dimensional copulae to data
Okhrin, Ostap - 2010
This paper make an overview of the copula theory from a practical side. We consider different methods of copula … Gaussian copulae but also Hierarchical Archimedean Copulae. Afterwards we provide an empirical part to support the theory …. -- copula ; multivariate distribution ; Archimedean copula ; GoF …
Persistent link: https://www.econbiz.de/10003953039
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Goodness-of-Fit Tests for Copulas of Multivariate Time Series
Remillard, Bruno - 2014
The asymptotic behaviour of the empirical copula constructed from residuals of stochastic volatility models is studied …. It is shown that if the stochastic volatility matrix is diagonal, then the empirical copula process behaves like if the …
Persistent link: https://www.econbiz.de/10013068847
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Robust tests for convergence clubs
Corrado, Luisa; Stengos, Thanasēs; Weeks, Melvyn; … - 2018
Persistent link: https://www.econbiz.de/10012672314
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Theory and practice of testing for a single structural break in Stata
Majune, Socrates Kraido - 2018
The major objective of this paper is to demonstrate, theoretically and empirically, the test of a single structural break/change. Failure to address a structural break can lead to forecasting errors and the general unreliability of a model. Three approaches of testing for structural change are...
Persistent link: https://www.econbiz.de/10011774223
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A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations
Creal, Drew; Koopman, Siem Jan; Lucas, André - 2010
representation as a time-varying heavy-tailed copula which is particularly useful if the interest focuses on dependence structures …
Persistent link: https://www.econbiz.de/10011380135
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Multivariate return decomposition : theory and implications
Anatolyev, Stanislav; Gospodinov, Nikolaj - 2015
directions are linked through a 2m-dimensional copula. The approach is detailed in the case of a bivariate decomposition. We …
Persistent link: https://www.econbiz.de/10011313230