Testing and dating structural changes in copula-based dependence measures
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DOI: 10.1080/02664763.2020.1850655
Abstract: This paper is concerned with testing and dating structural breaks in the dependence structure of multivariate time series. We consider a cumulative sum (CUSUM) type test for constant copula-based dependence measures, such as Spearman's rank… read more here.
Keywords: testing dating; based dependence; dependence; copula based ... See more keywords