Detection of Structural Breaks in Copula Models

Abstract

The paper presents the research results on detection of structural breaks in copula models of multivariate time-series. A nonparametric method of structural break identification and estimation is used and its asymptotic characteristics (probabilities of the I and II-type errors, probability of estimation error) are analyzed. Simulation test results applied to Clayton and Gumbel copulas are presented and discussedCopula; structural break; Kolmogorov-Smirnov statistics; interest rates; MosPrime; LIBOR; EURIBOR