Detection of Structural Breaks in Copula Models

Boris Brodsky (), Henry Penikas and Irina Safaryan ()
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Boris Brodsky: Central Economic-Mathematical Institute, Russia
Irina Safaryan: Russian-Armenian (Slavonic) State University

Applied Econometrics, 2009, vol. 16, issue 4, 3-15

Abstract: The paper presents the research results on detection of structural breaks in copula models of multivariate time-series. A nonparametric method of structural break identification and estimation is used and its asymptotic characteristics (probabilities of the I and II-type errors, probability of estimation error) are analyzed. Simulation test results applied to Clayton and Gumbel copulas are presented and discussed

Keywords: Copula; structural break; Kolmogorov-Smirnov statistics; interest rates; MosPrime; LIBOR; EURIBOR (search for similar items in EconPapers)
JEL-codes: C12 C46 E43 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (5)

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