Universität zu Köln

Manner, Hans, Stark, Florian and Wied, Dominik ORCID: 0000-0003-4252-2918 (2021). A monitoring procedure for detecting structural breaks in factor copula models. Stud. Nonlinear Dyn. Econom., 25 (4). S. 171 - 193. BERLIN: WALTER DE GRUYTER GMBH. ISSN 1558-3708

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Abstract

We propose a new monitoring procedure based on moving sums (MOSUM) for detecting single or multiple structural breaks in factor copula models. The test compares parameter estimates from a rolling window to those from a historical data set and analyzes the behavior under the null hypothesis of no parameter change. The case of multiple breaks is also treated. In the model, the joint copula is given by the copula of random variables which arise from a factor model. This is particularly useful for analyzing high dimensional data. Parameters are estimated with the simulated method of moments (SMM). We analyze the behavior of the monitoring procedure in Monte Carlo simulations and a real data application. We consider an online procedure for predicting the day-ahead Value-at-risk based on the suggested monitoring procedure.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Manner, Hans UNSPECIFIED UNSPECIFIED UNSPECIFIED Stark, Florian UNSPECIFIED UNSPECIFIED UNSPECIFIED Wied, Dominik UNSPECIFIED orcid.org/0000-0003-4252-2918 UNSPECIFIED
URN:	urn:nbn:de:hbz:38-572343
DOI:	10.1515/snde-2019-0081
Journal or Publication Title:	Stud. Nonlinear Dyn. Econom.
Volume:	25
Number:	4
Page Range:	S. 171 - 193
Date:	2021
Publisher:	WALTER DE GRUYTER GMBH
Place of Publication:	BERLIN
ISSN:	1558-3708
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language PARAMETER; RISK; DEPENDENCE; GARCH Multiple languages Economics; Social Sciences, Mathematical Methods Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/57234