Change-Point Analysis for Dependence Structures in Finance and Insurance

By Alexandra Dias, Paul Embrechts. 2001

71 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/b51478c86e49fdc2153d794b80717cc56c5c1a2e

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Alexandra Dias
2. Paul Embrechts
3. Dominik Wied
4. Herold G. Dehling
5. Walter Krämer
6. Andrew J. Patton
7. Xiaohong Chen
8. Kjersti Aas

Citations in the corpus

• TESTING FOR A CHANGE IN CORRELATION AT AN UNKNOWN POINT IN TIME USING AN EXTENDED FUNCTIONAL DELTA METHOD (2011, background): “Existing procedures either require strong parametric assumptions (Dias and Embrechts, 2004), assume that potential break points are known (Pearson Financial support by Deutsche Forschungsgemeinschaft (SFB 823, Statistik nichtlinearer dynamischer Prozesse) is gratefully acknowledged.”
• Dynamic copula models for multivariate high-frequency data in finance (2004, methodology): “For the theoretical background on change-point analysis we refer to Csörgő and Horváth (1997) and for an application of the methodology to the detection of changes in the copula parameters we refer to Dias and Embrechts (2002).”
• Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets (2011, unknown): “11 For further details, see Dias and Embrechts (2004) and Csörgő and Horvàth (1997). where Lk bqk ;bhk , L»k q»k ;bhk and LT bqT ;bhT correspond to the log-likelihood functions of the copula in Eq.”