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A simple nonparametric test for structural change in joint tail probabilities

We propose a new test against a change in the probability of multivariate tail events. The test is based on partial sums of a suitably defined indicator function and detects multiple changes in joint tail probabilities better than a previously suggested competitor.
Year of publication:
2011
Authors: Krämer, Walter ; van Kampen, Maarten
Published in:
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 110.2011, 3, p. 245-247
Publisher: Elsevier
Subject: Stock returns Copulas Structural change
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008867022
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