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Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models
Kaldorf, Matthias; Wied, Dominik - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10013334611
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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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Generalized autocontours : evaluation of multivariate density models
González-Rivera, Gloria; Sun, Yingying - In: International journal of forecasting 31 (2015) 3, pp. 799-814
Persistent link: https://www.econbiz.de/10011474574
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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 relevant dependence change in financial data : a CUSUM copula approach
Kutzker, Tim; Stark, Florian; Wied, Dominik - In: Empirical economics : a quarterly journal of the … 60 (2021) 4, pp. 1875-1894
Persistent link: https://www.econbiz.de/10012490683
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Essays on specification tests for smooth structural changes and time series conditional distribution models
Chen, Bin - 2007
Persistent link: https://www.econbiz.de/10009693136
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Testing for multivariate cointegration in the presence of structural breaks : p-values and critical values
Giles, David E. A.; Godwin, Ryan T. - In: Applied economics letters 19 (2012) 16/18, pp. 1561-1565
Persistent link: https://www.econbiz.de/10009684132
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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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Application of Copula models for modeling one-dimensional time series
Onishchenko, Vadim; Penikas, Henry - In: Financial econometrics and empirical market microstructure, (pp. 225-239). 2015
Persistent link: https://www.econbiz.de/10011326630