Testing and dating structural changes in copula-based dependence measures

DOI10.1080/02664763.2020.1850655OpenAlexW3107605720MaRDI QIDQ5073383

Sven Otto, Florian Stark

Publication date: 6 May 2022

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2011.05036

zbMATH Keywords

portfolio optimizationSpearman's rhoquantile dependencedependence measure testing

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Cites Work

• Unnamed Item
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• TESTING FOR CHANGES IN KENDALL’S TAU
• CONTINUOUS INSPECTION SCHEMES

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