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.


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
CreatorsEmailORCIDORCID Put Code
Stark, FlorianUNSPECIFIEDorcid.org/0000-0001-7419-6702UNSPECIFIED
Wied, DominikUNSPECIFIEDorcid.org/0000-0003-4252-2918UNSPECIFIED
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
Place of Publication: HEIDELBERG
ISSN: 1435-8921
Language: English
Faculty: Unspecified
Divisions: Unspecified
Subjects: no entry
Uncontrolled Keywords:
CONSTANTMultiple languages
Economics; Social Sciences, Mathematical MethodsMultiple languages
URI: http://kups.ub.uni-koeln.de/id/eprint/56409


Downloads per month over past year



Actions (login required)

View Item View Item