Alexander Mayer, Tatsushi Oka, Dominik Wied
arXiv 2 Mar 2026 · Econometrics
arXiv:2603.01721 · PDF · DOI · OpenAlex · Extracted main text
We propose a score test for dependence predictability in conditional copulas that is robust to temporal instabilities. Our semiparametric procedure accommodates flexible dynamics in the marginal processes and remains agnostic about the copula family by leveraging distributional regression techniques together with a local Gaussian representation of the copula link function. We derive the limiting distribution of our test statistic and propose a resampling scheme based on recent results for the moving block bootstrap of multi-stage estimators. Monte Carlo simulations and an empirical application illustrate the finite-sample performance of our methods.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Patton, A. J (2006) Modelling asymmetric exchange rate dependence | 1.000 | 5 | 3 | 100% |
| 2 | Neumeyer, N., M. Omelka, and S. Hudecová (2019) A copula approach for dependence modeling in multivariate nonparametric time series | 0.928 | 5 | 3 | 80% |
| 3 | Mayer, A., D. Wied, and V. Troster (2025) Quantile Granger Causality in the Presence of Instability self | 0.928 | 4 | 4 | 100% |
| 4 | Oh, D. H. and A. J. Patton (2017) Modeling dependence in high dimensions with factor copulas | 0.928 | 4 | 3 | 100% |
| 5 | Oh, D. H. and A. J. Patton (2013) Simulated Method of Moments Estimation for Copula-Based Multivariate Models | 0.928 | 4 | 3 | 100% |
| 6 | Mayer, A. and D. Wied (2023) Estimation and inference in factor copula models with exogenous covariates self | 0.843 | 4 | 4 | 75% |
| 7 | Goncalves, S., U. Hounyo, A. J. Patton, and K. Sheppard (2023) Bootstrapping two-stage quasi-maximum likelihood estimators of time series models | 0.843 | 3 | 3 | 100% |
| 8 | Nasri, B. R., B. N. Rémillard, and T. Bahraoui (2022) Change-point problems for multivariate time series using pseudo-observations | 0.843 | 3 | 3 | 100% |
| 9 | Rossi, B (2005) Optimal Tests for Nested Model Selection with Underlying Parameter Instability | 0.843 | 3 | 3 | 100% |
| 10 | Sowell, F (1996) Optimal Tests for Parameter Instability in the Generalized Method of Moments Framework | 0.843 | 3 | 3 | 100% |
Showing the top 10 of 65 scored citations.