A simple nonparametric test for structural change in joint tail probabilities
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Publication:531413
DOI10.1016/j.econlet.2010.12.008zbMath1210.91151OpenAlexW2006730162MaRDI QIDQ531413
Maarten van Kampen, Walter Kramer
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
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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Uses Software
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