EconPapers    
Economics at your fingertips  
 

When is a Copula Constant? A Test for Changing Relationships

Fabio Busetti and Andrew Harvey

Journal of Financial Econometrics, 2011, vol. 9, issue 1, 106-131

Abstract: A copula defines the probability that observations from two time series lie below given quantiles. It is proposed that stationarity tests constructed from indicator variables be used to test against the hypothesis that the copula is changing over time. Tests associated with different quantiles may point to changes in different parts of the copula. The tests are still effective when prefiltering is carried out to correct for persistent changes in volatility. However, a "median quadrant association test" that is robust to changing volatility provides a good overall test against a time-varying copula. An empirical illustration on financial contagion is provided. (JEL: C12, G32) Copyright The Author 2010. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oxfordjournals.org, Oxford University Press.

Date: 2011
References: Add references at CitEc
Citations: View citations in EconPapers (43)

Downloads: (external link)
http://hdl.handle.net/10.1093/jjfinec/nbq020 (application/pdf)
Access to full text is restricted to subscribers.

Related works:
Working Paper: When is a copula constant? A test for changing relationships (2008) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oup:jfinec:v:9:y:2011:i:1:p:106-131

Ordering information: This journal article can be ordered from
https://academic.oup.com/journals

Access Statistics for this article

Journal of Financial Econometrics is currently edited by Allan Timmermann and Fabio Trojani

More articles in Journal of Financial Econometrics from Oxford University Press Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK. Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().

 
Page updated 2025-03-31
Handle: RePEc:oup:jfinec:v:9:y:2011:i:1:p:106-131