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
Issue Date: 2010-09-22
Appears in Collections:Sonderforschungsbereich (SFB) 823

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