Copula structural shift identification
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More about this item
Keywords
Copula; structural shift; Kolmogorov-Smirnov statistics; interest rates;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2013-12-06 (Econometrics)
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