Guégan, Dominique; Zhang, Jing - Maison des Sciences Économiques, Université Paris 1 … - 2006
in the dependence structure. Recently, two methods to analyze such changes using copula have been proposed. The first … approach only investigates the changes of copula parameters while ignoring the possibility of the changing for the copula … family. The other one stresses to inspect any change for copulas by determining the best copula on every subsamples divided …