Consistent estimation of multiple breakpoints in dependence measures

Gespeichert in:

Autor*in:	Borsch, Marvin [verfasserIn] Mayer, Alexander [verfasserIn] Wied, Dominik - 1986- [verfasserIn]

Format:	E-Artikel
Sprache:	Englisch

Erschienen:	2024

Schlagwörter:	(Wild) binary segmentation AR-GARCH residuals Clayton copula Factor copula

Übergeordnetes Werk:	Enthalten in: Journal of business & economic statistics - Abingdon : Taylor & Francis, 1983, 42(2024), 2, Seite 695-706
Übergeordnetes Werk:	volume:42 ; year:2024 ; number:2 ; pages:695-706

Links:	Link aufrufen Link aufrufen

DOI / URN:	10.1080/07350015.2023.2224850

Katalog-ID:	1901907392

Internformat


LEADER	01000naa a2200265 4500
001	1901907392
003	DE-627
005	20240905102032.0
007	cr uuu---uuuuu
008	240905s2024 xx \|\|\|\|\|o 00\| \|\|eng c
024	7		\|a 10.1080/07350015.2023.2224850 \|2 doi
035			\|a (DE-627)1901907392
035			\|a (DE-599)KXP1901907392
040			\|a DE-627 \|b ger \|c DE-627 \|e rda
041			\|a eng
100	1		\|a Borsch, Marvin \|e verfasserin \|4 aut
245	1	0	\|a Consistent estimation of multiple breakpoints in dependence measures \|c Marvin Borsch, Alexander Mayer, and Dominik Wied
264		1	\|c 2024
336			\|a Text \|b txt \|2 rdacontent
337			\|a Computermedien \|b c \|2 rdamedia
338			\|a Online-Ressource \|b cr \|2 rdacarrier
650		4	\|a (Wild) binary segmentation \|7 (dpeaa)DE-206
650		4	\|a AR-GARCH residuals \|7 (dpeaa)DE-206
650		4	\|a Clayton copula \|7 (dpeaa)DE-206
650		4	\|a Factor copula \|7 (dpeaa)DE-206
700	1		\|a Mayer, Alexander \|e verfasserin \|4 aut
700	1		\|a Wied, Dominik \|d 1986- \|e verfasserin \|0 (DE-588)1021397156 \|0 (DE-627)691504008 \|0 (DE-576)363203354 \|4 aut
773	0	8	\|i Enthalten in \|t Journal of business & economic statistics \|d Abingdon : Taylor & Francis, 1983 \|g 42(2024), 2, Seite 695-706 \|h Online-Ressource \|w (DE-627)327084073 \|w (DE-600)2043744-4 \|w (DE-576)250711516 \|x 1537-2707 \|7 nnns
773	1	8	\|g volume:42 \|g year:2024 \|g number:2 \|g pages:695-706
856	4	0	\|u https://www.tandfonline.com/doi/pdf/10.1080/07350015.2023.2224850 \|x Verlag \|z lizenzpflichtig
856	4	0	\|u https://doi.org/10.1080/07350015.2023.2224850 \|x Resolving-System \|z lizenzpflichtig
912			\|a GBV_USEFLAG_U
912			\|a GBV_ILN_26
912			\|a ISIL_DE-206
912			\|a SYSFLAG_1
912			\|a GBV_KXP
912			\|a GBV_ILN_20
912			\|a GBV_ILN_22
912			\|a GBV_ILN_23
912			\|a GBV_ILN_40
912			\|a GBV_ILN_63
912			\|a GBV_ILN_70
912			\|a GBV_ILN_73
912			\|a GBV_ILN_100
912			\|a GBV_ILN_101
912			\|a GBV_ILN_224
912			\|a GBV_ILN_285
912			\|a GBV_ILN_370
912			\|a GBV_ILN_374
912			\|a GBV_ILN_647
912			\|a GBV_ILN_702
912			\|a GBV_ILN_2001
912			\|a GBV_ILN_2003
912			\|a GBV_ILN_2005
912			\|a GBV_ILN_2006
912			\|a GBV_ILN_2007
912			\|a GBV_ILN_2008
912			\|a GBV_ILN_2009
912			\|a GBV_ILN_2010
912			\|a GBV_ILN_2011
912			\|a GBV_ILN_2014
912			\|a GBV_ILN_2015
912			\|a GBV_ILN_2018
912			\|a GBV_ILN_2020
912			\|a GBV_ILN_2021
912			\|a GBV_ILN_2026
912			\|a GBV_ILN_2027
912			\|a GBV_ILN_2034
912			\|a GBV_ILN_2044
912			\|a GBV_ILN_2050
912			\|a GBV_ILN_2055
912			\|a GBV_ILN_2056
912			\|a GBV_ILN_2057
912			\|a GBV_ILN_2061
912			\|a GBV_ILN_2088
912			\|a GBV_ILN_2093
912			\|a GBV_ILN_2107
912			\|a GBV_ILN_2110
912			\|a GBV_ILN_2111
912			\|a GBV_ILN_2129
912			\|a GBV_ILN_2190
912			\|a GBV_ILN_2336
912			\|a GBV_ILN_2507
912			\|a GBV_ILN_2548
912			\|a GBV_ILN_2938
912			\|a GBV_ILN_2941
912			\|a GBV_ILN_2947
912			\|a GBV_ILN_2949
912			\|a GBV_ILN_2950
912			\|a GBV_ILN_4012
912			\|a GBV_ILN_4035
912			\|a GBV_ILN_4037
912			\|a GBV_ILN_4046
912			\|a GBV_ILN_4112
912			\|a GBV_ILN_4125
912			\|a GBV_ILN_4126
912			\|a GBV_ILN_4242
912			\|a GBV_ILN_4251
912			\|a GBV_ILN_4305
912			\|a GBV_ILN_4306
912			\|a GBV_ILN_4307
912			\|a GBV_ILN_4313
912			\|a GBV_ILN_4322
912			\|a GBV_ILN_4323
912			\|a GBV_ILN_4324
912			\|a GBV_ILN_4325
912			\|a GBV_ILN_4326
912			\|a GBV_ILN_4335
912			\|a GBV_ILN_4346
912			\|a GBV_ILN_4392
912			\|a GBV_ILN_4393
912			\|a GBV_ILN_4700
951			\|a AR
952			\|d 42 \|j 2024 \|e 2 \|h 695-706
980			\|2 26 \|1 01 \|x 0206 \|b 4576352067 \|y x1z \|z 05-09-24
982			\|2 26 \|1 00 \|x DE-206 \|b This article proposes different methods to consistently detect multiple breaks in copula-based dependence measures. Starting with the classical binary segmentation, also the more recent wild binary segmentation (WBS) is considered. For binary segmentation, consistency of the estimators for the location of the breakpoints as well as the number of breaks is proved, taking filtering effects from AR-GARCH models explicitly into account. Monte Carlo simulations based on a factor copula as well as on a Clayton copula model illustrate the strengths and limitations of the procedures. A real data application on recent Euro Stoxx 50 data reveals some interpretable breaks in the dependence structure.

Indexfelder

author_variant	m b mb a m am d w dw
matchkey_str	article:15372707:2024----::ossetsiainfutperapitid
hierarchy_sort_str	2024
publishDate	2024
allfields	10.1080/07350015.2023.2224850 doi (DE-627)1901907392 (DE-599)KXP1901907392 DE-627 ger DE-627 rda eng Borsch, Marvin verfasserin aut Consistent estimation of multiple breakpoints in dependence measures Marvin Borsch, Alexander Mayer, and Dominik Wied 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier (Wild) binary segmentation (dpeaa)DE-206 AR-GARCH residuals (dpeaa)DE-206 Clayton copula (dpeaa)DE-206 Factor copula (dpeaa)DE-206 Mayer, Alexander verfasserin aut Wied, Dominik 1986- verfasserin (DE-588)1021397156 (DE-627)691504008 (DE-576)363203354 aut Enthalten in Journal of business & economic statistics Abingdon : Taylor & Francis, 1983 42(2024), 2, Seite 695-706 Online-Ressource (DE-627)327084073 (DE-600)2043744-4 (DE-576)250711516 1537-2707 nnns volume:42 year:2024 number:2 pages:695-706 https://www.tandfonline.com/doi/pdf/10.1080/07350015.2023.2224850 Verlag lizenzpflichtig https://doi.org/10.1080/07350015.2023.2224850 Resolving-System lizenzpflichtig GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_40 GBV_ILN_63 GBV_ILN_70 GBV_ILN_73 GBV_ILN_100 GBV_ILN_101 GBV_ILN_224 GBV_ILN_285 GBV_ILN_370 GBV_ILN_374 GBV_ILN_647 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2018 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2044 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2061 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2107 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_2190 GBV_ILN_2336 GBV_ILN_2507 GBV_ILN_2548 GBV_ILN_2938 GBV_ILN_2941 GBV_ILN_2947 GBV_ILN_2949 GBV_ILN_2950 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4346 GBV_ILN_4392 GBV_ILN_4393 GBV_ILN_4700 AR 42 2024 2 695-706 26 01 0206 4576352067 x1z 05-09-24 26 00 DE-206 This article proposes different methods to consistently detect multiple breaks in copula-based dependence measures. Starting with the classical binary segmentation, also the more recent wild binary segmentation (WBS) is considered. For binary segmentation, consistency of the estimators for the location of the breakpoints as well as the number of breaks is proved, taking filtering effects from AR-GARCH models explicitly into account. Monte Carlo simulations based on a factor copula as well as on a Clayton copula model illustrate the strengths and limitations of the procedures. A real data application on recent Euro Stoxx 50 data reveals some interpretable breaks in the dependence structure.
spelling	10.1080/07350015.2023.2224850 doi (DE-627)1901907392 (DE-599)KXP1901907392 DE-627 ger DE-627 rda eng Borsch, Marvin verfasserin aut Consistent estimation of multiple breakpoints in dependence measures Marvin Borsch, Alexander Mayer, and Dominik Wied 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier (Wild) binary segmentation (dpeaa)DE-206 AR-GARCH residuals (dpeaa)DE-206 Clayton copula (dpeaa)DE-206 Factor copula (dpeaa)DE-206 Mayer, Alexander verfasserin aut Wied, Dominik 1986- verfasserin (DE-588)1021397156 (DE-627)691504008 (DE-576)363203354 aut Enthalten in Journal of business & economic statistics Abingdon : Taylor & Francis, 1983 42(2024), 2, Seite 695-706 Online-Ressource (DE-627)327084073 (DE-600)2043744-4 (DE-576)250711516 1537-2707 nnns volume:42 year:2024 number:2 pages:695-706 https://www.tandfonline.com/doi/pdf/10.1080/07350015.2023.2224850 Verlag lizenzpflichtig https://doi.org/10.1080/07350015.2023.2224850 Resolving-System lizenzpflichtig GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_40 GBV_ILN_63 GBV_ILN_70 GBV_ILN_73 GBV_ILN_100 GBV_ILN_101 GBV_ILN_224 GBV_ILN_285 GBV_ILN_370 GBV_ILN_374 GBV_ILN_647 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2018 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2044 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2061 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2107 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_2190 GBV_ILN_2336 GBV_ILN_2507 GBV_ILN_2548 GBV_ILN_2938 GBV_ILN_2941 GBV_ILN_2947 GBV_ILN_2949 GBV_ILN_2950 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4346 GBV_ILN_4392 GBV_ILN_4393 GBV_ILN_4700 AR 42 2024 2 695-706 26 01 0206 4576352067 x1z 05-09-24 26 00 DE-206 This article proposes different methods to consistently detect multiple breaks in copula-based dependence measures. Starting with the classical binary segmentation, also the more recent wild binary segmentation (WBS) is considered. For binary segmentation, consistency of the estimators for the location of the breakpoints as well as the number of breaks is proved, taking filtering effects from AR-GARCH models explicitly into account. Monte Carlo simulations based on a factor copula as well as on a Clayton copula model illustrate the strengths and limitations of the procedures. A real data application on recent Euro Stoxx 50 data reveals some interpretable breaks in the dependence structure.
allfields_unstemmed	10.1080/07350015.2023.2224850 doi (DE-627)1901907392 (DE-599)KXP1901907392 DE-627 ger DE-627 rda eng Borsch, Marvin verfasserin aut Consistent estimation of multiple breakpoints in dependence measures Marvin Borsch, Alexander Mayer, and Dominik Wied 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier (Wild) binary segmentation (dpeaa)DE-206 AR-GARCH residuals (dpeaa)DE-206 Clayton copula (dpeaa)DE-206 Factor copula (dpeaa)DE-206 Mayer, Alexander verfasserin aut Wied, Dominik 1986- verfasserin (DE-588)1021397156 (DE-627)691504008 (DE-576)363203354 aut Enthalten in Journal of business & economic statistics Abingdon : Taylor & Francis, 1983 42(2024), 2, Seite 695-706 Online-Ressource (DE-627)327084073 (DE-600)2043744-4 (DE-576)250711516 1537-2707 nnns volume:42 year:2024 number:2 pages:695-706 https://www.tandfonline.com/doi/pdf/10.1080/07350015.2023.2224850 Verlag lizenzpflichtig https://doi.org/10.1080/07350015.2023.2224850 Resolving-System lizenzpflichtig GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_40 GBV_ILN_63 GBV_ILN_70 GBV_ILN_73 GBV_ILN_100 GBV_ILN_101 GBV_ILN_224 GBV_ILN_285 GBV_ILN_370 GBV_ILN_374 GBV_ILN_647 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2018 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2044 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2061 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2107 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_2190 GBV_ILN_2336 GBV_ILN_2507 GBV_ILN_2548 GBV_ILN_2938 GBV_ILN_2941 GBV_ILN_2947 GBV_ILN_2949 GBV_ILN_2950 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4346 GBV_ILN_4392 GBV_ILN_4393 GBV_ILN_4700 AR 42 2024 2 695-706 26 01 0206 4576352067 x1z 05-09-24 26 00 DE-206 This article proposes different methods to consistently detect multiple breaks in copula-based dependence measures. Starting with the classical binary segmentation, also the more recent wild binary segmentation (WBS) is considered. For binary segmentation, consistency of the estimators for the location of the breakpoints as well as the number of breaks is proved, taking filtering effects from AR-GARCH models explicitly into account. Monte Carlo simulations based on a factor copula as well as on a Clayton copula model illustrate the strengths and limitations of the procedures. A real data application on recent Euro Stoxx 50 data reveals some interpretable breaks in the dependence structure.
allfieldsGer	10.1080/07350015.2023.2224850 doi (DE-627)1901907392 (DE-599)KXP1901907392 DE-627 ger DE-627 rda eng Borsch, Marvin verfasserin aut Consistent estimation of multiple breakpoints in dependence measures Marvin Borsch, Alexander Mayer, and Dominik Wied 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier (Wild) binary segmentation (dpeaa)DE-206 AR-GARCH residuals (dpeaa)DE-206 Clayton copula (dpeaa)DE-206 Factor copula (dpeaa)DE-206 Mayer, Alexander verfasserin aut Wied, Dominik 1986- verfasserin (DE-588)1021397156 (DE-627)691504008 (DE-576)363203354 aut Enthalten in Journal of business & economic statistics Abingdon : Taylor & Francis, 1983 42(2024), 2, Seite 695-706 Online-Ressource (DE-627)327084073 (DE-600)2043744-4 (DE-576)250711516 1537-2707 nnns volume:42 year:2024 number:2 pages:695-706 https://www.tandfonline.com/doi/pdf/10.1080/07350015.2023.2224850 Verlag lizenzpflichtig https://doi.org/10.1080/07350015.2023.2224850 Resolving-System lizenzpflichtig GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_40 GBV_ILN_63 GBV_ILN_70 GBV_ILN_73 GBV_ILN_100 GBV_ILN_101 GBV_ILN_224 GBV_ILN_285 GBV_ILN_370 GBV_ILN_374 GBV_ILN_647 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2018 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2044 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2061 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2107 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_2190 GBV_ILN_2336 GBV_ILN_2507 GBV_ILN_2548 GBV_ILN_2938 GBV_ILN_2941 GBV_ILN_2947 GBV_ILN_2949 GBV_ILN_2950 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4346 GBV_ILN_4392 GBV_ILN_4393 GBV_ILN_4700 AR 42 2024 2 695-706 26 01 0206 4576352067 x1z 05-09-24 26 00 DE-206 This article proposes different methods to consistently detect multiple breaks in copula-based dependence measures. Starting with the classical binary segmentation, also the more recent wild binary segmentation (WBS) is considered. For binary segmentation, consistency of the estimators for the location of the breakpoints as well as the number of breaks is proved, taking filtering effects from AR-GARCH models explicitly into account. Monte Carlo simulations based on a factor copula as well as on a Clayton copula model illustrate the strengths and limitations of the procedures. A real data application on recent Euro Stoxx 50 data reveals some interpretable breaks in the dependence structure.
allfieldsSound	10.1080/07350015.2023.2224850 doi (DE-627)1901907392 (DE-599)KXP1901907392 DE-627 ger DE-627 rda eng Borsch, Marvin verfasserin aut Consistent estimation of multiple breakpoints in dependence measures Marvin Borsch, Alexander Mayer, and Dominik Wied 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier (Wild) binary segmentation (dpeaa)DE-206 AR-GARCH residuals (dpeaa)DE-206 Clayton copula (dpeaa)DE-206 Factor copula (dpeaa)DE-206 Mayer, Alexander verfasserin aut Wied, Dominik 1986- verfasserin (DE-588)1021397156 (DE-627)691504008 (DE-576)363203354 aut Enthalten in Journal of business & economic statistics Abingdon : Taylor & Francis, 1983 42(2024), 2, Seite 695-706 Online-Ressource (DE-627)327084073 (DE-600)2043744-4 (DE-576)250711516 1537-2707 nnns volume:42 year:2024 number:2 pages:695-706 https://www.tandfonline.com/doi/pdf/10.1080/07350015.2023.2224850 Verlag lizenzpflichtig https://doi.org/10.1080/07350015.2023.2224850 Resolving-System lizenzpflichtig GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_40 GBV_ILN_63 GBV_ILN_70 GBV_ILN_73 GBV_ILN_100 GBV_ILN_101 GBV_ILN_224 GBV_ILN_285 GBV_ILN_370 GBV_ILN_374 GBV_ILN_647 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2018 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2044 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2061 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2107 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_2190 GBV_ILN_2336 GBV_ILN_2507 GBV_ILN_2548 GBV_ILN_2938 GBV_ILN_2941 GBV_ILN_2947 GBV_ILN_2949 GBV_ILN_2950 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4346 GBV_ILN_4392 GBV_ILN_4393 GBV_ILN_4700 AR 42 2024 2 695-706 26 01 0206 4576352067 x1z 05-09-24 26 00 DE-206 This article proposes different methods to consistently detect multiple breaks in copula-based dependence measures. Starting with the classical binary segmentation, also the more recent wild binary segmentation (WBS) is considered. For binary segmentation, consistency of the estimators for the location of the breakpoints as well as the number of breaks is proved, taking filtering effects from AR-GARCH models explicitly into account. Monte Carlo simulations based on a factor copula as well as on a Clayton copula model illustrate the strengths and limitations of the procedures. A real data application on recent Euro Stoxx 50 data reveals some interpretable breaks in the dependence structure.
language	English
source	Enthalten in Journal of business & economic statistics 42(2024), 2, Seite 695-706 volume:42 year:2024 number:2 pages:695-706
sourceStr	Enthalten in Journal of business & economic statistics 42(2024), 2, Seite 695-706 volume:42 year:2024 number:2 pages:695-706
format_phy_str_mv	Article
building	26:1
institution	findex.gbv.de
selectbib_iln_str_mv	26@1z
topic_facet	(Wild) binary segmentation AR-GARCH residuals Clayton copula Factor copula
sw_local_iln_str_mv	26: DE-206:
isfreeaccess_bool	false
container_title	Journal of business & economic statistics
authorswithroles_txt_mv	Borsch, Marvin @@aut@@ Mayer, Alexander @@aut@@ Wied, Dominik @@aut@@
publishDateDaySort_date	2024-01-01T00:00:00Z
hierarchy_top_id	327084073
id	1901907392
language_de	englisch
fullrecord	<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01000naa a2200265 4500</leader><controlfield tag="001">1901907392</controlfield><controlfield tag="003">DE-627</controlfield><controlfield tag="005">20240905102032.0</controlfield><controlfield tag="007">cr uuu---uuuuu</controlfield><controlfield tag="008">240905s2024 xx \|\|\|\|\|o 00\| \|\|eng c</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1080/07350015.2023.2224850</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627)1901907392</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)KXP1901907392</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-627</subfield><subfield code="b">ger</subfield><subfield code="c">DE-627</subfield><subfield code="e">rda</subfield></datafield><datafield tag="041" ind1=" " ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Borsch, Marvin</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Consistent estimation of multiple breakpoints in dependence measures</subfield><subfield code="c">Marvin Borsch, Alexander Mayer, and Dominik Wied</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="c">2024</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">Text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">Computermedien</subfield><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">Online-Ressource</subfield><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">(Wild) binary segmentation</subfield><subfield code="7">(dpeaa)DE-206</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">AR-GARCH residuals</subfield><subfield code="7">(dpeaa)DE-206</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Clayton copula</subfield><subfield code="7">(dpeaa)DE-206</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Factor copula</subfield><subfield code="7">(dpeaa)DE-206</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Mayer, Alexander</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Wied, Dominik</subfield><subfield code="d">1986-</subfield><subfield code="e">verfasserin</subfield><subfield code="0">(DE-588)1021397156</subfield><subfield code="0">(DE-627)691504008</subfield><subfield code="0">(DE-576)363203354</subfield><subfield code="4">aut</subfield></datafield><datafield tag="773" ind1="0" ind2="8"><subfield code="i">Enthalten in</subfield><subfield code="t">Journal of business & economic statistics</subfield><subfield code="d">Abingdon : Taylor & Francis, 1983</subfield><subfield code="g">42(2024), 2, Seite 695-706</subfield><subfield code="h">Online-Ressource</subfield><subfield code="w">(DE-627)327084073</subfield><subfield code="w">(DE-600)2043744-4</subfield><subfield code="w">(DE-576)250711516</subfield><subfield code="x">1537-2707</subfield><subfield code="7">nnns</subfield></datafield><datafield tag="773" ind1="1" ind2="8"><subfield code="g">volume:42</subfield><subfield code="g">year:2024</subfield><subfield code="g">number:2</subfield><subfield code="g">pages:695-706</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">https://www.tandfonline.com/doi/pdf/10.1080/07350015.2023.2224850</subfield><subfield code="x">Verlag</subfield><subfield code="z">lizenzpflichtig</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">https://doi.org/10.1080/07350015.2023.2224850</subfield><subfield code="x">Resolving-System</subfield><subfield code="z">lizenzpflichtig</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_USEFLAG_U</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_26</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ISIL_DE-206</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SYSFLAG_1</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_KXP</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_20</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_22</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_23</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_40</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_63</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_70</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_73</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_100</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_101</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_224</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_285</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_370</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_374</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_647</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_702</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2001</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2003</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2005</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2006</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2007</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2008</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2009</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2010</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2011</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2014</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2015</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2018</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2020</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2021</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2026</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2027</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2034</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2044</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2050</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2055</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2056</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2057</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2061</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2088</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2093</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2107</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2110</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2111</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2129</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2190</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2336</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2507</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2548</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2938</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2941</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2947</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2949</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2950</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4012</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4035</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4037</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4046</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4112</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4125</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4126</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4242</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4251</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4305</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4306</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4307</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4313</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4322</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4323</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4324</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4325</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4326</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4335</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4346</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4392</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4393</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4700</subfield></datafield><datafield tag="951" ind1=" " ind2=" "><subfield code="a">AR</subfield></datafield><datafield tag="952" ind1=" " ind2=" "><subfield code="d">42</subfield><subfield code="j">2024</subfield><subfield code="e">2</subfield><subfield code="h">695-706</subfield></datafield><datafield tag="980" ind1=" " ind2=" "><subfield code="2">26</subfield><subfield code="1">01</subfield><subfield code="x">0206</subfield><subfield code="b">4576352067</subfield><subfield code="y">x1z</subfield><subfield code="z">05-09-24</subfield></datafield><datafield tag="982" ind1=" " ind2=" "><subfield code="2">26</subfield><subfield code="1">00</subfield><subfield code="x">DE-206</subfield><subfield code="b">This article proposes different methods to consistently detect multiple breaks in copula-based dependence measures. Starting with the classical binary segmentation, also the more recent wild binary segmentation (WBS) is considered. For binary segmentation, consistency of the estimators for the location of the breakpoints as well as the number of breaks is proved, taking filtering effects from AR-GARCH models explicitly into account. Monte Carlo simulations based on a factor copula as well as on a Clayton copula model illustrate the strengths and limitations of the procedures. A real data application on recent Euro Stoxx 50 data reveals some interpretable breaks in the dependence structure.</subfield></datafield></record></collection>
author	Borsch, Marvin
spellingShingle	Borsch, Marvin misc (Wild) binary segmentation misc AR-GARCH residuals misc Clayton copula misc Factor copula Consistent estimation of multiple breakpoints in dependence measures
authorStr	Borsch, Marvin
ppnlink_with_tag_str_mv	@@773@@(DE-627)327084073
format	electronic Article
delete_txt_mv	keep
author_role	aut aut aut
collection	KXP GVK SWB
remote_str	true
last_changed_iln_str_mv	26@05-09-24
illustrated	Not Illustrated
issn	1537-2707
topic_title	26 00 DE-206 This article proposes different methods to consistently detect multiple breaks in copula-based dependence measures. Starting with the classical binary segmentation, also the more recent wild binary segmentation (WBS) is considered. For binary segmentation, consistency of the estimators for the location of the breakpoints as well as the number of breaks is proved, taking filtering effects from AR-GARCH models explicitly into account. Monte Carlo simulations based on a factor copula as well as on a Clayton copula model illustrate the strengths and limitations of the procedures. A real data application on recent Euro Stoxx 50 data reveals some interpretable breaks in the dependence structure Consistent estimation of multiple breakpoints in dependence measures Marvin Borsch, Alexander Mayer, and Dominik Wied (Wild) binary segmentation (dpeaa)DE-206 AR-GARCH residuals (dpeaa)DE-206 Clayton copula (dpeaa)DE-206 Factor copula (dpeaa)DE-206
topic	misc (Wild) binary segmentation misc AR-GARCH residuals misc Clayton copula misc Factor copula
topic_unstemmed	misc (Wild) binary segmentation misc AR-GARCH residuals misc Clayton copula misc Factor copula
topic_browse	misc (Wild) binary segmentation misc AR-GARCH residuals misc Clayton copula misc Factor copula
format_facet	Elektronische Aufsätze Aufsätze Elektronische Ressource
format_main_str_mv	Text Zeitschrift/Artikel
carriertype_str_mv	cr
hierarchy_parent_title	Journal of business & economic statistics
hierarchy_parent_id	327084073
hierarchy_top_title	Journal of business & economic statistics
isfreeaccess_txt	false
familylinks_str_mv	(DE-627)327084073 (DE-600)2043744-4 (DE-576)250711516
normlinkwithrole_str_mv	(DE-588)1021397156@@aut@@
title	Consistent estimation of multiple breakpoints in dependence measures
ctrlnum	(DE-627)1901907392 (DE-599)KXP1901907392
title_full	Consistent estimation of multiple breakpoints in dependence measures Marvin Borsch, Alexander Mayer, and Dominik Wied
author_sort	Borsch, Marvin
journal	Journal of business & economic statistics
journalStr	Journal of business & economic statistics
lang_code	eng
isOA_bool	false
recordtype	marc
publishDateSort	2024
contenttype_str_mv	txt
container_start_page	695
author_browse	Borsch, Marvin Mayer, Alexander Wied, Dominik
selectkey	26:x
container_volume	42
format_se	Elektronische Aufsätze
author-letter	Borsch, Marvin
doi_str_mv	10.1080/07350015.2023.2224850
normlink	1021397156 691504008 363203354
normlink_prefix_str_mv	(DE-588)1021397156 (DE-627)691504008 (DE-576)363203354
author2-role	verfasserin
title_sort	consistent estimation of multiple breakpoints in dependence measures
title_auth	Consistent estimation of multiple breakpoints in dependence measures
collection_details	GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_40 GBV_ILN_63 GBV_ILN_70 GBV_ILN_73 GBV_ILN_100 GBV_ILN_101 GBV_ILN_224 GBV_ILN_285 GBV_ILN_370 GBV_ILN_374 GBV_ILN_647 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2008 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2018 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2034 GBV_ILN_2044 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2061 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2107 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2129 GBV_ILN_2190 GBV_ILN_2336 GBV_ILN_2507 GBV_ILN_2548 GBV_ILN_2938 GBV_ILN_2941 GBV_ILN_2947 GBV_ILN_2949 GBV_ILN_2950 GBV_ILN_4012 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4335 GBV_ILN_4346 GBV_ILN_4392 GBV_ILN_4393 GBV_ILN_4700
container_issue	2
title_short	Consistent estimation of multiple breakpoints in dependence measures
url	https://www.tandfonline.com/doi/pdf/10.1080/07350015.2023.2224850 https://doi.org/10.1080/07350015.2023.2224850
ausleihindikator_str_mv	26
rolewithnormlink_str_mv	@@aut@@(DE-588)1021397156
remote_bool	true
author2	Mayer, Alexander Wied, Dominik 1986-
author2Str	Mayer, Alexander Wied, Dominik 1986-
ppnlink	327084073
mediatype_str_mv	c
isOA_txt	false
hochschulschrift_bool	false
doi_str	10.1080/07350015.2023.2224850
up_date	2024-09-06T03:27:46.688Z
_version_	1809415685212733440
fullrecord_marcxml	<?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01000naa a2200265 4500</leader><controlfield tag="001">1901907392</controlfield><controlfield tag="003">DE-627</controlfield><controlfield tag="005">20240905102032.0</controlfield><controlfield tag="007">cr uuu---uuuuu</controlfield><controlfield tag="008">240905s2024 xx \|\|\|\|\|o 00\| \|\|eng c</controlfield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1080/07350015.2023.2224850</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-627)1901907392</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)KXP1901907392</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-627</subfield><subfield code="b">ger</subfield><subfield code="c">DE-627</subfield><subfield code="e">rda</subfield></datafield><datafield tag="041" ind1=" " ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Borsch, Marvin</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Consistent estimation of multiple breakpoints in dependence measures</subfield><subfield code="c">Marvin Borsch, Alexander Mayer, and Dominik Wied</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="c">2024</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="a">Text</subfield><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="a">Computermedien</subfield><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="a">Online-Ressource</subfield><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">(Wild) binary segmentation</subfield><subfield code="7">(dpeaa)DE-206</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">AR-GARCH residuals</subfield><subfield code="7">(dpeaa)DE-206</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Clayton copula</subfield><subfield code="7">(dpeaa)DE-206</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Factor copula</subfield><subfield code="7">(dpeaa)DE-206</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Mayer, Alexander</subfield><subfield code="e">verfasserin</subfield><subfield code="4">aut</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Wied, Dominik</subfield><subfield code="d">1986-</subfield><subfield code="e">verfasserin</subfield><subfield code="0">(DE-588)1021397156</subfield><subfield code="0">(DE-627)691504008</subfield><subfield code="0">(DE-576)363203354</subfield><subfield code="4">aut</subfield></datafield><datafield tag="773" ind1="0" ind2="8"><subfield code="i">Enthalten in</subfield><subfield code="t">Journal of business & economic statistics</subfield><subfield code="d">Abingdon : Taylor & Francis, 1983</subfield><subfield code="g">42(2024), 2, Seite 695-706</subfield><subfield code="h">Online-Ressource</subfield><subfield code="w">(DE-627)327084073</subfield><subfield code="w">(DE-600)2043744-4</subfield><subfield code="w">(DE-576)250711516</subfield><subfield code="x">1537-2707</subfield><subfield code="7">nnns</subfield></datafield><datafield tag="773" ind1="1" ind2="8"><subfield code="g">volume:42</subfield><subfield code="g">year:2024</subfield><subfield code="g">number:2</subfield><subfield code="g">pages:695-706</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">https://www.tandfonline.com/doi/pdf/10.1080/07350015.2023.2224850</subfield><subfield code="x">Verlag</subfield><subfield code="z">lizenzpflichtig</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">https://doi.org/10.1080/07350015.2023.2224850</subfield><subfield code="x">Resolving-System</subfield><subfield code="z">lizenzpflichtig</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_USEFLAG_U</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_26</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ISIL_DE-206</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">SYSFLAG_1</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_KXP</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_20</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_22</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_23</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_40</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_63</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_70</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_73</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_100</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_101</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_224</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_285</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_370</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_374</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_647</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_702</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2001</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2003</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2005</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2006</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2007</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2008</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2009</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2010</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2011</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2014</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2015</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2018</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2020</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2021</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2026</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2027</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2034</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2044</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2050</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2055</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2056</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2057</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2061</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2088</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2093</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2107</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2110</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2111</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2129</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2190</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2336</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2507</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2548</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2938</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2941</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2947</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2949</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_2950</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4012</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4035</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4037</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4046</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4112</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4125</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4126</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4242</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4251</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4305</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4306</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4307</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4313</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4322</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4323</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4324</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4325</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4326</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4335</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4346</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4392</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4393</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">GBV_ILN_4700</subfield></datafield><datafield tag="951" ind1=" " ind2=" "><subfield code="a">AR</subfield></datafield><datafield tag="952" ind1=" " ind2=" "><subfield code="d">42</subfield><subfield code="j">2024</subfield><subfield code="e">2</subfield><subfield code="h">695-706</subfield></datafield><datafield tag="980" ind1=" " ind2=" "><subfield code="2">26</subfield><subfield code="1">01</subfield><subfield code="x">0206</subfield><subfield code="b">4576352067</subfield><subfield code="y">x1z</subfield><subfield code="z">05-09-24</subfield></datafield><datafield tag="982" ind1=" " ind2=" "><subfield code="2">26</subfield><subfield code="1">00</subfield><subfield code="x">DE-206</subfield><subfield code="b">This article proposes different methods to consistently detect multiple breaks in copula-based dependence measures. Starting with the classical binary segmentation, also the more recent wild binary segmentation (WBS) is considered. For binary segmentation, consistency of the estimators for the location of the breakpoints as well as the number of breaks is proved, taking filtering effects from AR-GARCH models explicitly into account. Monte Carlo simulations based on a factor copula as well as on a Clayton copula model illustrate the strengths and limitations of the procedures. A real data application on recent Euro Stoxx 50 data reveals some interpretable breaks in the dependence structure.</subfield></datafield></record></collection>
score	7.4011936

Nicht das Richtige dabei?

Schreiben Sie uns!

Consistent estimation of multiple breakpoints in dependence measures

Nicht das Richtige dabei?

Zugang & Verfügbarkeit

Vorhandene Bände

Nicht das Richtige dabei?