61 citations · 259 across the 17 of their papers we have counts for
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math.ST2012★ 4 cited
Consistent testing for a constant copula under strong mixing based on the tapered block multiplier technique
Axel Bücher, Martin Ruppert
Considering multivariate strongly mixing time series, nonparametric tests for a constant copula with specified or unspecified change point (candidate) are derived; the tests are co…
math.ST2012★ 61 cited
Detecting changes in cross-sectional dependence in multivariate time series
Axel Bücher, Ivan Kojadinovic, Tom Rohmer +1
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 d…
math.ST2012★ 27 cited
Nonparametric inference on Lévy measures and copulas
Axel Bücher, Mathias Vetter
In this paper nonparametric methods to assess the multivariate Lévy measure are introduced. Starting from high-frequency observations of a Lévy process , we construct e…