Stark, Florian and Otto, Sven ORCID: 0000-0002-1613-3962 . Testing and dating structural changes in copula-based dependence measures. J. Appl. Stat.. ABINGDON: TAYLOR & FRANCIS LTD. ISSN 1360-0532

Full text not available from this repository.

Abstract

This paper is concerned with testing and dating structural breaks in the dependence structure of multivariate time series. We consider a cumulative sum (CUSUM) type test for constant copula-based dependence measures, such as Spearman's rank correlation and quantile dependencies. The asymptotic null distribution is not known in closed form and critical values are estimated by an i.i.d. bootstrap procedure. We analyze size and power properties in a simulation study under different dependence measure settings, such as skewed and fat-tailed distributions. To date breakpoints and to decide whether two estimated break locations belong to the same break event, we propose a pivot confidence interval procedure. Finally, we apply the test to the historical data of 10 large financial firms during the last financial crisis from 2002 to mid-2013.

Item Type: Journal Article
Creators:
CreatorsEmailORCIDORCID Put Code
Stark, FlorianUNSPECIFIEDUNSPECIFIEDUNSPECIFIED
Otto, SvenUNSPECIFIEDorcid.org/0000-0002-1613-3962UNSPECIFIED
URN: urn:nbn:de:hbz:38-310829
DOI: 10.1080/02664763.2020.1850655
Journal or Publication Title: J. Appl. Stat.
Publisher: TAYLOR & FRANCIS LTD
Place of Publication: ABINGDON
ISSN: 1360-0532
Language: English
Faculty: Unspecified
Divisions: Unspecified
Subjects: no entry
Uncontrolled Keywords:
KeywordsLanguage
SPEARMANS RHO; MULTIVARIATE; CONSTANT; MODELS; POINTMultiple languages
Statistics & ProbabilityMultiple languages
URI: http://kups.ub.uni-koeln.de/id/eprint/31082

Downloads

Downloads per month over past year

Altmetric

Export

Actions (login required)

View Item View Item