Testing for changes in (extreme) VaR (Q5093948)
From MaRDI portal
scientific article; zbMATH DE number 7565907
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Testing for changes in (extreme) VaR |
scientific article; zbMATH DE number 7565907 |
Statements
Testing for changes in (extreme) VaR (English)
0 references
2 August 2022
0 references
change point test
0 references
functional central limit theorem
0 references
\(\beta\)-mixing
0 references
tail index estimator
0 references
VaR
0 references
