{"title":"Copula-Based Univariate Time Series Structural Shift Identification Test","authors":"H. Penikas","doi":"10.2139/SSRN.2196716","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":250928,"journal":{"name":"arXiv: General Finance","volume":"37 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2012-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv: General Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/SSRN.2196716","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 1
Abstract
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.
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