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
eldorado.dnb.deposit	true

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