Pages that link to "Item:Q2763328"

The following pages link to Structural Change Tests in Tail Behaviour and the Asian Crisis (Q2763328):

Displaying 28 items.

• On the tail index inference for heavy-tailed GARCH-type innovations (Q263253) (← links)
• Change point test of tail index for autoregressive processes (Q457301) (← links)
• Time-varying jump tails (Q473227) (← links)
• Change point test for tail index for dependent data (Q649099) (← links)
• Sequential monitoring of the tail behavior of dependent data (Q729715) (← links)
• On the estimation of a changepoint in a tail index (Q852282) (← links)
• Multiple structural changes in the tail behavior: Evidence from stock index futures returns (Q1003235) (← links)
• An extreme value analysis of the last century crises across industries in the U.S. economy (Q1655601) (← links)
• Measuring the subprime crisis contagion: evidence of change point analysis of copula functions (Q1926916) (← links)
• Interval estimation of the tail index of a GARCH(1,1) model (Q1936534) (← links)
• Testing for changes in the tail behavior of Brown-Resnick Pareto processes (Q2066970) (← links)
• Quantifying the data-dredging bias in structural break tests (Q2122806) (← links)
• A nonparametric estimator for the conditional tail index of Pareto-type distributions (Q2303031) (← links)
• Test for tail index constancy of GARCH innovations based on conditional volatility (Q2317888) (← links)
• ESTIMATION OF THE MAXIMAL MOMENT EXPONENT OF A GARCH(1,1) SEQUENCE (Q4561969) (← links)
• ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA (Q4933584) (← links)
• Detection of changes in a random financial sequence with a stable distribution (Q5123599) (← links)
• Optimal choice of sample fraction in univariate financial tail index estimation (Q5123676) (← links)
• CHANGE POINT TESTS FOR THE TAIL INDEX OF<i>β</i>-MIXING RANDOM VARIABLES (Q5357392) (← links)
• Inference for the tail index of a GARCH(1,1) model and an AR(1) model with ARCH(1) errors (Q5860900) (← links)
• Where does the tail begin? An approach based on scoring rules (Q5860997) (← links)
• Change-Point Tests for the Tail Parameter of Long Memory Stochastic Volatility Time Series (Q6092958) (← links)
• Tail index estimation in the presence of covariates: stock returns' tail risk dynamics (Q6108353) (← links)
• ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH (Q6156585) (← links)
• Testing for strict stationarity via the discrete Fourier transform (Q6536814) (← links)
• Anticipating extreme losses using score-driven shape filters (Q6553216) (← links)
• Dynamic Bivariate Peak Over Threshold Model for Joint Tail Risk Dynamics of Financial Markets (Q6617811) (← links)
• Modeling Extreme Events: Time-Varying Extreme Tail Shape (Q6626257) (← links)