When is a copula constant? A test for changing relationships

Thumbnail
View / Open Files
Authors
Busetti, Fabio
Harvey, Andrew C.
Publication Date
2008-09
Series
Cambridge Working Papers in Economics
Publisher
Faculty of Economics
Type
Working Paper
Metadata
Show full item record
Citation
Busetti, F., & Harvey, A. C. (2008). When is a copula constant? A test for changing relationships. https://doi.org/10.17863/CAM.5262
Keywords
Concordance, quantile, rank correlation, stationarity test, tail dependence
Identifiers
CWPE0841
This record's DOI: https://doi.org/10.17863/CAM.5262
This record's URL: http://www.dspace.cam.ac.uk/handle/1810/229500https://www.repository.cam.ac.uk/handle/1810/229500
Rights
All Rights Reserved
Licence URL: https://www.rioxx.net/licenses/all-rights-reserved/
Statistics



Total file downloads (since January 2020). For more information on metrics see the IRUS guide.