Detecting changes in cross-sectional dependence in multivariate time
series

Detecting changes in cross-sectional dependence in multivariate time series

12 June 2012

Axel Bücher

Papers citing "Detecting changes in cross-sectional dependence in multivariate time series"

8 / 8 papers shown

Title
Extreme value copula estimation based on block maxima of a multivariate stationary time series Axel Bücher Johan Segers 46 45 0 13 Nov 2013
A dependent multiplier bootstrap for the sequential empirical copula process under strong mixing Axel Bücher I. Kojadinovic 123 74 0 17 Jun 2013
A note on weak convergence of the sequential multivariate empirical process under strong mixing Axel Bücher 46 20 0 18 Apr 2013
A fluctuation test for constant Spearman's rho with nuisance-free limit distribution Dominik Wied H. Dehling M. Kampen D. Vogel 81 30 0 22 Jun 2012
Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique Axel Bücher Martin Ruppert 60 49 0 08 Jun 2012
Empirical and sequential empirical copula processes under serial dependence Axel Bücher S. Volgushev 75 93 0 11 Nov 2011
Asymptotics of empirical copula processes under non-restrictive smoothness assumptions Johan Segers 110 239 0 09 Dec 2010
On the covariance of the asymptotic empirical copula process Christian Genest Johan Segers 106 48 0 19 Mar 2009