Authors: Van Kampen, Maarten
Wied, Dominik
Title: A nonparametric constancy test for copulas under mixing conditions
Language (ISO): en
Abstract: This paper generalizes some recently proposed tests which examine if a copula is constant over time. The i.i.d. assumption underlying these tests is relaxed by imposing only strong mixing and it is shown that the resulting tests are consistent against the alternative of a structural break.
Subject Headings: copula
mixing
URI: http://hdl.handle.net/2003/27397
http://dx.doi.org/10.17877/DE290R-14188
Issue Date: 2010-09-22
Appears in Collections:Sonderforschungsbereich (SFB) 823

Files in This Item:
File Description SizeFormat 
DP_3610_SFB823_vankampen_wied.pdfDNB235.82 kBAdobe PDFView/Open


This item is protected by original copyright



All resources in the repository are protected by copyright.