What is an adaptive copula?

My basic question is: What is an adaptive copula?

I have slides from a presentation (unfortunately, I cannot ask the author of the slides) about adaptive copulae and I am not getting, what this means resp. what this is good for?

Here are the slides:
Then the slides continue with a change-point Test. I am wondering what this is about and why I need this in connection to copulae?

The slides end with an adaptively estimated parameter plot:

This seems to show, that my estimates are lagged behind. Any other interpretations, comments would be great!


I think adaptive in this context just means the reestimation on a rolling basis. So the parameter should not change until there is a change point. Then the true parameter increases and stays constant after it decreases again because of the second change point. The estimated parameter is evaluated compared to the true parameter: How fast does it get the change point? How fast does it adapt to the new environment?

Source : Link , Question Author : Copuleros , Answer Author : user1690846

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