Similar Search Results

Structural change in tail behavior and the Asian financial crisis

Quintos, Carmela E.; Fan, Zhenhong; Phillips, Peter C. B. - 2000

Persistent link: https://www.econbiz.de/10001548868

Structural change tests in tail behaviour and the Asian crisis

Quintos, Carmela E.; Fan, Zhenhong; Phillips, Peter C. B. - In: The review of economic studies 68 (2001) 3, pp. 633-663

Persistent link: https://www.econbiz.de/10001608811

Stability tests in error correction models

Quintos, Carmela E. - In: Journal of econometrics 82 (1998) 2, pp. 289-315

Persistent link: https://www.econbiz.de/10001234536

Analysis of cointegration vectors using the GMM approach

Quintos, Carmela E. - In: Journal of econometrics 85 (1998) 1, pp. 155-188

Persistent link: https://www.econbiz.de/10001240377

Measuring Change in Tail Behavior

Quintos, Carmela; Fan, Zhenhong; Phillips, Peter C. B. - 2000

This paper explores tests of the hypotheses that the tail thickness of a distribution is constant over time. Using Hill's conditional maximum likelihood estimator for the tail index of a distribution, tests of tail shape constancy are constructed that allow for an unknown breakpoint. The...

Persistent link: https://www.econbiz.de/10014152767