Consistent Estimation of Multiple Breakpoints in Dependence Measures*

نویسندگان

چکیده

This paper proposes different methods to consistently detect multiple breaks in copula-based dependence measures. Starting with the classical binary segmentation, also more recent wild segmentation (WBS) is considered. For consistency of estimators for location breakpoints as well number proved, taking filtering effects from AR-GARCH models explicitly into account. Monte Carlo simulations based on a factor copula Clayton model illustrate strengths and limitations procedures. A real data application Euro Stoxx 50 reveals some interpretable structure.

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ژورنال

عنوان ژورنال: Journal of Business & Economic Statistics

سال: 2023

ISSN: ['1537-2707', '0735-0015']

DOI: https://doi.org/10.1080/07350015.2023.2224850