Brodsky, Boris; Penikas, Henry; Safaryan, Irina - In: Applied Econometrics 16 (2009) 4, pp. 3-15
The paper presents the research results on detection of structural breaks in copula models of multivariate time-series. A nonparametric method of structural break identification and estimation is used and its asymptotic characteristics (probabilities of the I and II-type errors, probability of...