Copula structural shift identification

Boris Brodsky (), Henry Penikas and Irina Safaryan
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Boris Brodsky: Central Economics and Mathematics Department. National Research University Higher School of Economics. Applied Macroeconomics Department.
Irina Safaryan: Institute for Informatics and Automation Problems of the National Academy of Sciences of the Republic of Armenia; Research Fellow.

HSE Working papers from National Research University Higher School of Economics

Abstract: This paper aims at presenting the research results of revealing a structural shift in copula-models of multivariate time-series. A nonparametric method of structural shift identification and estimation is used. The asymptotical characteristics (the probabilities of the I-type and II-type errors, and the probability of the estimation error) of the proposed method are analyzed. The simulation method verification results for Clayton and Gumbel copulas are presented and discussed. The empirical part of the paper is devoted to structural shift identification for multivariate time series of interest rates for Euro-, US Dollar- and Ruble-zones. The empirical application provides strong evidence of the efficiency for the proposed method of structural shift identification.

Keywords: Copula; structural shift; Kolmogorov-Smirnov statistics; interest rates (search for similar items in EconPapers)
JEL-codes: C14 C46 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2012
New Economics Papers: this item is included in nep-ecm
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Published in WP BRP Series: Financial Economics / FE, August 2012, pages 1-20

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