A nonparametric constancy test for copulas under mixing conditions

Thumbnail Image

Date

2010-09-22

Journal Title

Journal ISSN

Volume Title

Publisher

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.

Description

Table of contents

Keywords

copula, mixing

Citation