Copula-Based Univariate Time Series Structural Shift Identification Test

An approach is proposed to determine structural shift in time-series assuming non-linear dependence of lagged values of dependent variable. Copulas are used to model non-linear dependence of time series components.

• Publication year

  2012

• Venue

  arXiv: General Finance

• Publication date

  2012-12-28

• Fields of study

  Mathematics, Economics

• Identifiers
  DOI 10.2139/SSRN.2196716arXiv 1609.05056
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

• Multivariate Kendall's tau for change‐point detection in copulas

  2013cited by this paper
• Nonparametric tests for change-point detection à la Gombay and Horváth

  2012cited by this paper
• A review of copula models for economic time series

  2012cited by this paper
• COPULA-BASED CHARACTERIZATIONS FOR HIGHER ORDER MARKOV PROCESSES

  2009cited by this paper
• Обнаружение структурных сдвигов в моделях копул

  2009influential reference
• Dynamic distributions and changing copulas

  2008cited by this paper
• Associative Functions: Triangular Norms And Copulas

  2006cited by this paper
• Testing for equality between two copulas

  2006cited by this paper
• Semiparametric estimation in copula models

  2005cited by this paper
• Dealing with Structural Breaks

  2005cited by this paper
• Tests for Parameter Instability and Structural Change with Unknown Change Point

  1993cited by this paper
• Copulas and Markov processes

  1992cited by this paper
• The Great Crash, The Oil Price Shock And The Unit Root Hypothesis

  1989cited by this paper
• Statistical Sequential Analysis

  1973cited by this paper
• Fonctions de repartition a n dimensions et leurs marges

  1959cited by this paper

• Application of Copula Models for Modeling One-Dimensional Time Series

  2015cites this paper