Testing for changes in (extreme) VaR

DOI10.1111/ECTJ.12080MaRDI QIDQ5093948zbMATH OpenOpenAlexFDO

Authors Yannick Hoga

Publication date 2 August 2022

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/ectj.12080

zbMATH Keywords

\(\beta\)-mixingchange point testfunctional central limit theoremtail index estimatorVaR

Mathematics Subject Classification ID

Statistics (62-XX)

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(13)

• Quantifying the data-dredging bias in structural break tests
• Detecting tail risk differences in multivariate time series
• Testing for changing volatility
• Monitoring multivariate time series
• scientific article; zbMATH DE number 5589691 (Why is no real title available?)
• Trends in Extreme Value Indices
• Loss function-based change point detection in risk measures
• Modeling Extreme Events: Time-Varying Extreme Tail Shape
• Confidence Intervals for Conditional Tail Risk Measures in ARMA–GARCH Models
• A break test for the tail-event correlation matrix based on the self-normalization method
• ANOVEX: ANalysis Of Variability for heavy-tailed EXtremes
• Sequential monitoring of the tail behavior of dependent data
• Sequential Monitoring for Changes in Dynamic Semiparametric Risk Models

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