Consistent Estimation of Multiple Breakpoints in Dependence Measures
Bibliographic Data
| ID | 19420116 |
|---|---|
| Authors | Marvin Borsch (0000-0001-8603-8656, University of Cologne, corresponding author), Alexander Mayer (0000-0001-5938-8394, Ca' Foscari University of Venice), Alexander Leonhard Mayer (0000-0002-0872-034X, Università Ca' Foscari Venezia), Dominik Wied (0000-0003-4252-2918, University of Cologne) |
| Year | 2024 |
| Volume | 42 |
| Issue | 2 |
| Pages | 695-706 |
| Publication date | 2024-04-02 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.2023.2224850 |
| OpenAlex | W4380480192 |
| Language | EN |
| References cited | 44 |
This article proposes different methods to consistently detect multiple breaks in copula-based dependence measures. Starting with the classical binary segmentation, also the more recent wild binary segmentation (WBS) is considered. For binary segmentation, consistency of the estimators for the location of the breakpoints as well as the number of breaks is proved, taking filtering effects from AR-GARCH models explicitly into account. Monte Carlo simulations based on a factor copula as well as on a Clayton copula model illustrate the strengths and limitations of the procedures. A real data application on recent Euro Stoxx 50 data reveals some interpretable breaks in the dependence structure
Algorithm · Binary data · Binary number · Econometrics · Estimator · Monte Carlo method · Segmentation · Statistics · Computer Science · Financial Risk and Volatility Modeling · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact · Artificial Intelligence
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Estimating and Testing Linear Models with Multiple Structural Changes
Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
Modelling Asymmetric Exchange Rate Dependence
Computation and analysis of multiple structural change models
Techniques for Testing the Constancy of Regression Relationships Over Time
Change‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models
Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings
Modeling Dependence in High Dimensions With Factor Copulas
| Citation velocity | historical |
|---|---|
| Highly cited | No |