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Detecting changes in cross-sectional dependence in multivariate time series

Classical and more recent tests for detecting distributional changes in multivariate time series often lack power against alternatives that involve changes in the cross-sectional dependence structure. To be able to detect such changes better, a test is introduced based on a recently studied variant...

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Hauptverfasser: Bücher, Axel (VerfasserIn) , Kojadinovic, Ivan (VerfasserIn) , Rohmer, Tom (VerfasserIn) , Segers, Johan (VerfasserIn)
Dokumenttyp: Article (Journal)
Sprache:Englisch
Veröffentlicht: 7 August 2014
In: Journal of multivariate analysis
Year: 2014, Jahrgang: 132, Pages: 111-128
ISSN:1095-7243
DOI:10.1016/j.jmva.2014.07.012
Online-Zugang:Verlag, lizenzpflichtig, Volltext: https://doi.org/10.1016/j.jmva.2014.07.012
Verlag, lizenzpflichtig, Volltext: https://www.sciencedirect.com/science/article/pii/S0047259X14001699
Volltext
Verfasserangaben:Axel Bücher, Ivan Kojadinovic, Tom Rohmer, Johan Segers

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520 |a Classical and more recent tests for detecting distributional changes in multivariate time series often lack power against alternatives that involve changes in the cross-sectional dependence structure. To be able to detect such changes better, a test is introduced based on a recently studied variant of the sequential empirical copula process. In contrast to earlier attempts, ranks are computed with respect to relevant subsamples, with beneficial consequences for the sensitivity of the test. For the computation of p-values we propose a multiplier resampling scheme that takes the serial dependence into account. The large-sample theory for the test statistic and the resampling scheme is developed. The finite-sample performance of the procedure is assessed by Monte Carlo simulations. Two case studies involving time series of financial returns are presented as well. 
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