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Change point detection in copula ARMA–GARCH Models
Author(s) -
Na Okyoung,
Lee Jiyeon,
Lee Sangyeol
Publication year - 2012
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.2011.00763.x
Subject(s) - copula (linguistics) , mathematics , autoregressive conditional heteroskedasticity , econometrics , cusum , null distribution , statistics , statistical hypothesis testing , test statistic , volatility (finance)
In this article, we consider the problem of testing for a copula parameter change based on the cusum test. We first handle this issue in i.i.d. samples and extend it to semiparametric copula ARMA‐GARCH models. We construct the cusum test based on pseudo maximum likelihood estimation of the copula parameter and derive its limiting null distribution. Simulation results are reported for illustration.