An Adaptive Kernel-Based Structural Change Test for Copulas
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Cites work
- A goodness of fit test for copulas based on Rosenblatt's transformation
- A goodness-of-fit test for copulas based on martingale transformation
- A model-free consistent test for structural change in regression possibly with endogeneity
- Bandwidth selection in nonparametric kernel testing
- Change-point problems for multivariate time series using pseudo-observations
- Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique
- Detecting changes in cross-sectional dependence in multivariate time series
- Efficient estimation of conditional variance functions in stochastic regression
- Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification
- Modeling Dependence in High Dimensions With Factor Copulas
- Modelling asymmetric exchange rate dependence
- NONPARAMETRIC ESTIMATORS FOR TIME SERIES
- Specification tests for time-varying coefficient models
- Testing and dating structural changes in copula-based dependence measures
- Testing for changes in Kendall's tau
- Testing for smooth structural changes in time series models via nonparametric regression
- Testing for structural breaks in factor copula models
- Testing for structural change in time-varying nonparametric regression models
- Testing strict stationarity with applications to macroeconomic time series
- The Effect of Dependence on European Market Risk. A Nonparametric Time Varying Approach
- Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads
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