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

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+Pair-copula constructions of multiple dependence
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+Modeling high‐dimensional time‐varying dependence using dynamic D‐vine models
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+Tests for Parameter Instability and Structural Change With Unknown Change Point
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+Vines -- a new graphical model for dependent random variables.
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+Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50
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+A dependent multiplier bootstrap for the sequential empirical copula process under strong mixing
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+Detecting changes in cross-sectional dependence in multivariate time series
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+Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique
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+High dimensional dynamic stochastic copula models
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+TESTING FOR CHANGES IN KENDALL’S TAU
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+Efficient estimation of a semiparametric dynamic copula model
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+Autoregressive Conditional Density Estimation
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+Factor copula models for multivariate data
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+Bayesian Gaussian Copula Factor Models for Mixed Data
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+Simulated Method of Moments Estimation for Copula-Based Multivariate Models
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+On the structure and estimation of hierarchical Archimedean copulas
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+A review of copula models for economic time series
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+Estimating and Testing Structural Changes in Multivariate Regressions
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+Hierarchies of Archimedean copulas
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+Regime switches in the dependence structure of multidimensional financial data
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+Simplified pair copula constructions -- limitations and extensions
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+CUSUM-type testing for changing parameters in a spatial autoregressive model for stock returns
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+A fluctuation test for constant Spearman's rho with nuisance-free limit distribution
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+Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
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