Kutzker, Tim, Stark, Florian ORCID: 0000-0001-7419-6702 and Wied, Dominik ORCID: 0000-0003-4252-2918 (2021). Testing for relevant dependence change in financial data: a CUSUM copula approach. Empir. Econ., 60 (4). S. 1875 - 1895. HEIDELBERG: PHYSICA-VERLAG GMBH & CO. ISSN 1435-8921
Full text not available from this repository.Abstract
We propose a new nonparametric test for detecting relevant breaks in copula functions. We assume that the data is driven by two non-equal copulas C-1 and C-2. Under the null hypothesis, the copula difference within an appropriate norm is smaller than a certain positive adjustable threshold Delta. Within the alternative hypothesis, the copula difference exceeds the fixed value Delta. The test is based on a cumulative sum approach of the empirical copula with sequentially estimated marginals. We propose a bootstrap procedure to compute critical values. The Monte Carlo simulation indicates that the test results in a reasonable sized and powered testing procedure. A real data application of the DAX30 up to cross-sectional dimension N = 30 shows the test's ability to detect relevant break points.
Item Type: | Journal Article | ||||||||||||||||
Creators: |
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URN: | urn:nbn:de:hbz:38-564090 | ||||||||||||||||
DOI: | 10.1007/s00181-019-01811-4 | ||||||||||||||||
Journal or Publication Title: | Empir. Econ. | ||||||||||||||||
Volume: | 60 | ||||||||||||||||
Number: | 4 | ||||||||||||||||
Page Range: | S. 1875 - 1895 | ||||||||||||||||
Date: | 2021 | ||||||||||||||||
Publisher: | PHYSICA-VERLAG GMBH & CO | ||||||||||||||||
Place of Publication: | HEIDELBERG | ||||||||||||||||
ISSN: | 1435-8921 | ||||||||||||||||
Language: | English | ||||||||||||||||
Faculty: | Unspecified | ||||||||||||||||
Divisions: | Unspecified | ||||||||||||||||
Subjects: | no entry | ||||||||||||||||
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URI: | http://kups.ub.uni-koeln.de/id/eprint/56409 |
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