The paper introduces Accelerated Moving Window and Bottom-up change point detection methods for copulas, finds Bottom-up most accurate in a single simulation, and reports larger VaR and ES from dynamic copulas on stock index data.
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Dynamic Dependence Modeling in financial time series
The paper introduces Accelerated Moving Window and Bottom-up change point detection methods for copulas, finds Bottom-up most accurate in a single simulation, and reports larger VaR and ES from dynamic copulas on stock index data.