Structural Change Tests in Tail Behaviour and the Asian Crisis

DOI10.1111/1467-937X.00184zbMath0980.62044OpenAlexW3122132421MaRDI QIDQ2763328

Carmela E. Quintos, Zhenhong Fan, Peter C. B. Phillips

Publication date: 6 March 2002

Published in: Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-937x.00184

zbMATH Keywords

stock price dataHill's conditional maximum likelihood estimator

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32)

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