A nonparametric constancy test for copulas under mixing conditions
| dc.contributor.author | Van Kampen, Maarten | |
| dc.contributor.author | Wied, Dominik | |
| dc.date.accessioned | 2010-09-22T08:01:08Z | |
| dc.date.available | 2010-09-22T08:01:08Z | |
| dc.date.issued | 2010-09-22 | |
| dc.description.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. | en |
| dc.identifier.uri | http://hdl.handle.net/2003/27397 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-14188 | |
| dc.language.iso | en | de |
| dc.relation.ispartofseries | Discussion Paper / SFB 823;36/2010 | |
| dc.subject | copula | en |
| dc.subject | mixing | en |
| dc.subject.ddc | 310 | |
| dc.subject.ddc | 330 | |
| dc.subject.ddc | 620 | |
| dc.title | A nonparametric constancy test for copulas under mixing conditions | en |
| dc.type | Text | de |
| dc.type.publicationtype | workingPaper | de |
| dcterms.accessRights | open access |