Change point tests for the tail index of β-mixing random variables
Year of publication: |
August 2017
|
---|---|
Authors: | Hoga, Yannick |
Published in: |
Econometric theory. - Cambridge : Cambridge Univ. Press, ISSN 0266-4666, ZDB-ID 901661-2. - Vol. 33.2017, 4, p. 915-954
|
Subject: | Wahrscheinlichkeitsrechnung | Probability theory | Statistische Verteilung | Statistical distribution | Schätztheorie | Estimation theory | Statistischer Test | Statistical test | Zufallsvariable | Random variable |
-
On the absolute Moments of a normally distributed random variable
Moors, J.J.A., (1973)
-
Approximations of VAR as an Extreme Quantile of a Random Sum of Heavy-Tailed Random Variables
Hannah, Lincoln, (2015)
-
WKB Approximation for the Sum of Two Correlated Lognormal Random Variables
Lo, Chi-Fai, (2013)
- More ...
-
Quantifying the data-dredging bias in structural break tests
Hoga, Yannick, (2021)
-
Detecting Tail Risk Differences in Multivariate Time Series
Hoga, Yannick, (2018)
-
Extending the Limits of Backtesting via the ‘Vanishing p ’‐Approach
Hoga, Yannick, (2019)
- More ...