Testing and dating structural changes in copula-based dependence measures

DOI10.1080/02664763.2020.1850655MaRDI QIDQ5073383zbMATH OpenOpenAlexFDO

Authors Florian Stark, Sven Otto

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

Spearman's rhoportfolio optimizationquantile dependencedependence measure testing

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Cites work

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Cited in

(2)

• Consistent Estimation of Multiple Breakpoints in Dependence Measures
• An Adaptive Kernel-Based Structural Change Test for Copulas

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