Testing for structural breaks in factor copula models (Q1739863): Difference between revisions

@@ Property / DOI @@
-.1016/j.jeconom.2018.10.001
@@ Property / DOI: 10.1016/j.jeconom.2018.10.001 / rank @@
-Normal rank
@@ Property / describes a project that uses @@
+bfa
@@ Property / describes a project that uses: bfa / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jeconom.2018.10.001
+Normal rank
@@ Property / OpenAlex ID @@
+W2896253071
@@ Property / OpenAlex ID: W2896253071 / rank @@
+Normal rank
@@ Property / cites work @@
+Pair-copula constructions of multiple dependence
@@ Property / cites work: Pair-copula constructions of multiple dependence / rank @@
+Normal rank
@@ Property / cites work @@
+Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models
+Normal rank
@@ Property / cites work @@
+Tests for Parameter Instability and Structural Change With Unknown Change Point
+Normal rank
@@ Property / cites work @@
+Vines -- a new graphical model for dependent random variables.
+Normal rank
@@ Property / cites work @@
+Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50
+Normal rank
@@ Property / cites work @@
+A dependent multiplier bootstrap for the sequential empirical copula process under strong mixing
+Normal rank
@@ Property / cites work @@
+Detecting changes in cross-sectional dependence in multivariate time series
+Normal rank
@@ Property / cites work @@
+Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique
+Normal rank
@@ Property / cites work @@
+High dimensional dynamic stochastic copula models
@@ Property / cites work: High dimensional dynamic stochastic copula models / rank @@
+Normal rank
@@ Property / cites work @@
+TESTING FOR CHANGES IN KENDALL’S TAU
@@ Property / cites work: TESTING FOR CHANGES IN KENDALL’S TAU / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient estimation of a semiparametric dynamic copula model
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Density Estimation
@@ Property / cites work: Autoregressive Conditional Density Estimation / rank @@
+Normal rank
@@ Property / cites work @@
+Factor copula models for multivariate data
@@ Property / cites work: Factor copula models for multivariate data / rank @@
+Normal rank
@@ Property / cites work @@
+Bayesian Gaussian Copula Factor Models for Mixed Data
+Normal rank
@@ Property / cites work @@
+Simulated Method of Moments Estimation for Copula-Based Multivariate Models
+Normal rank
@@ Property / cites work @@
+On the structure and estimation of hierarchical Archimedean copulas
+Normal rank
@@ Property / cites work @@
+A review of copula models for economic time series
+Normal rank
@@ Property / cites work @@
+Estimating and Testing Structural Changes in Multivariate Regressions
+Normal rank
@@ Property / cites work @@
+Hierarchies of Archimedean copulas
@@ Property / cites work: Hierarchies of Archimedean copulas / rank @@
+Normal rank
@@ Property / cites work @@
+Regime switches in the dependence structure of multidimensional financial data
+Normal rank
@@ Property / cites work @@
+Simplified pair copula constructions -- limitations and extensions
+Normal rank
@@ Property / cites work @@
+CUSUM-type testing for changing parameters in a spatial autoregressive model for stock returns
+Normal rank
@@ Property / cites work @@
+A fluctuation test for constant Spearman's rho with nuisance-free limit distribution
+Normal rank
@@ Property / cites work @@
+Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
+Normal rank
@@ Property / DOI @@
+.1016/J.JECONOM.2018.10.001
@@ Property / DOI: 10.1016/J.JECONOM.2018.10.001 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1739863