When is a copula constant? A test for changing relationships

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Authors
Busetti, Fabio
Harvey, Andrew C.
Publication Date
2008-09
Series
Cambridge Working Papers in Economics
Publisher
Faculty of Economics
Type
Working Paper
Metadata
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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

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