Copula-Based Univariate Time Series Structural Shift Identification Test

Autor:	Penikas, Henry
Rok vydání:	2016
Předmět:	Quantitative Finance - General Finance 60E05 (Primary) 62G07 62P20 (Secondary) G.3
Druh dokumentu:	Working Paper
Popis:	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. Comment: 20 pages
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1609.05056 Zobrazit plný text záznamu View this record from Arxiv