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Shi-Yao Huang

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Preprint Oct 2026

Detecting Copula Structural Changes: A Smooth Testing Approach

This paper develops novel smooth tests for structural changes in the innovation copula of multivariate dynamic models. We characterize deviations from copula constancy through a collection of generalized Fourier coefficients and test their joint significance. Under the null hypothesis, estimation of the dynamic paramet...

Shi-Yao Huang, Xiao-Jun Song · 0 citations

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