Testing for structural breaks in factor copula models
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DOI: 10.1016/j.jeconom.2018.10.001
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Citations
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- Gaete, Michael & Herrera, Rodrigo, 2022. "Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach," MPRA Paper 115641, University Library of Munich, Germany.
- Tong, Chen & Hansen, Peter Reinhard, 2023.
"Characterizing correlation matrices that admit a clustered factor representation,"
Economics Letters, Elsevier, vol. 233(C).
- Chen Tong & Peter Reinhard Hansen, 2023. "Characterizing Correlation Matrices that Admit a Clustered Factor Representation," Papers 2308.05895, arXiv.org.
- Cai, Guixin & Zhang, Hao & Chen, Ziyue, 2019. "Comovement between commodity sectors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 1247-1258.
- Mayer, Alexander & Wied, Dominik, 2023.
"Estimation and inference in factor copula models with exogenous covariates,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 1500-1521.
- Alexander Mayer & Dominik Wied, 2021. "Estimation and Inference in Factor Copula Models with Exogenous Covariates," Papers 2107.03366, arXiv.org, revised Dec 2022.
- Florian Stark & Sven Otto, 2020. "Testing and Dating Structural Changes in Copula-based Dependence Measures," Papers 2011.05036, arXiv.org.
- Manner, Hans & Rodríguez, Gabriel & Stöckler, Florian, 2024.
"A changepoint analysis of exchange rate and commodity price risks for Latin American stock markets,"
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- Tim Kutzker & Florian Stark & Dominik Wied, 2021. "Testing for relevant dependence change in financial data: a CUSUM copula approach," Empirical Economics, Springer, vol. 60(4), pages 1875-1894, April.
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More about this item
Keywords
Factor copula model; Fluctuation test; Simulated method of moments;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Statistics
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