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LM tests for joint breaks in the dynamics and level of a long-memory time series

Dolado, Juan J.; Rachinger, Heiko; Velasco, Carlos - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 629-650

Persistent link: https://www.econbiz.de/10013534032

The cointegrated VAR model with deterministic structural breaks

Gosińska, Emilia; Welfe, Aleksander - In: Central European journal of economic modelling and … 14 (2022) 3, pp. 335-350

Persistent link: https://www.econbiz.de/10013502245

Testing for stochastic trends in series with structural breaks

Busetti, Fabio - 2000

Persistent link: https://www.econbiz.de/10013439233

Monitoring structural change in dynamic econometric models

Zeileis, Achim; Leisch, Friedrich; Kleiber, Christian; … - 2002

Persistent link: https://www.econbiz.de/10001742139

LM tests for joint breaks in the dynamics and level of a long-memory time series

Dolado, Juan J.; Rachinger, Heiko; Velasco, Carlos - 2020

Persistent link: https://www.econbiz.de/10012321115

Monitoring structural change in dynamic econometric models

Zeileis, Achim; Leisch, Friedrich; Kleiber, Christian; … - 2002

The classical approach to testing for structural change employs retrospective tests using a historical data set of a given length. Here we consider a wide array of fluctuation-type tests in a monitoring situation – given a history period for which a regression relationship is known to be...

Persistent link: https://www.econbiz.de/10009775964

Robust Portfolio Optimization with Multivariate Copulas : A Worst-Case CVaR Approach

B. Sabino da Silva, Fernando - 2018

Conditional Value-at-Risk (CVaR) minimization model by applying multidimensional mixed Archimedean copula function and obtaining …: a multidimensional Gaussian copula model and a constant mix portfolio. Our empirical analysis shows that the Mixed … Copula-CVaR approach generates portfolios with better downside risk statistics for any rebalancing period and it is more …

Persistent link: https://www.econbiz.de/10012931953

Nichtparametrische Inferenz für Copulas : quantitative Risikoanalysen für den deutschen Finanzmarkt

Dobrić, Jadran - 2008

Persistent link: https://www.econbiz.de/10003751715

Weighted approximations of tail copula processes with application to testing the multivariate extreme value condition

Einmahl, John H. J. (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002240253

Goodness-of-fit tests for parametric families of Archimedean copulas

Trede, Mark; Savu, Cornelia - 2004

Persistent link: https://www.econbiz.de/10002688693