A simple nonparametric test for structural change in joint tail probabilities
We propose a new test against a change in the probability of multivariate tail events. The test is based on partial sums of a suitably defined indicator function and detects multiple changes in joint tail probabilities better than a previously suggested competitor.
Year of publication: |
2011
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---|---|
Authors: | Krämer, Walter ; van Kampen, Maarten |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 110.2011, 3, p. 245-247
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Publisher: |
Elsevier |
Subject: | Stock returns Copulas Structural change |
Saved in:
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