A simple nonparametric test for structural change in joint tail probabilities

DOI10.1016/J.ECONLET.2010.12.008MaRDI QIDQ531413zbMATH OpenOpenAlexFDO

Authors Maarten van Kampen, Walter Krämer

Publication date 29 April 2011

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/2003/26479

zbMATH Keywords

copulasstock returnsstructural change

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Recommendations

• Some results on change-point detection in cross-sectional dependence of multivariate data with changes in marginal distributions
• Nonparametric tests for constant tail dependence with an application to energy and finance
• A nonparametric test for multiple changes in the mean of independent random series
• A tail adaptive approach for change point detection
• Change point test for tail index of scale-shifted processes

Cites work

• Asymmetric extreme interdependence in emerging equity markets
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market
• Range vs. maximum in the OLS-based version of the CUSUM test
• The Cusum Test with Ols Residuals
• The distribution of the maximum Brownian excursion

Cited in

(4)

• A fluctuation test for constant Spearman's rho with nuisance-free limit distribution
• Nonparametric tests for constant tail dependence with an application to energy and finance
• Variance change-point detection in panel data models
• A nonparametric test for a constant correlation matrix

Describes a project that uses

Uses Software

• Ox

This page was built for publication: A simple nonparametric test for structural change in joint tail probabilities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q531413)