Marvin Borsch (University of Cologne)

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Title: Consistent Estimation of Multiple Breakpoints in Dependence Measures

 

Abstract - This paper 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) and a procedure based on an information criterion are considered. For all procedures, consistency of the estimators for the location of the breakpoints as well as the number of breaks is proved. 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.

 

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