Showing 1 - 5 of 5
Persistent link: https://www.econbiz.de/10009716299
Persistent link: https://www.econbiz.de/10010433404
Persistent link: https://www.econbiz.de/10009793510
Persistent link: https://www.econbiz.de/10011498799
The present paper proposes new tests for detecting structural breaks in the tail dependence of multivariate time series using the concept of tail copulas. To obtain asymptotic properties, we derive a new limit result for the sequential empirical tail copula process. Moreover, consistency of both...
Persistent link: https://www.econbiz.de/10013033839