Nonparametric tests for constant tail dependence with an application to energy and finance
Year of publication: |
July 2015
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Authors: | Bücher, Axel ; Jäschke, Stefan ; Wied, Dominik |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 187.2015, 1, p. 154-168
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Subject: | Break-point detection | Multiplier bootstrap | Tail dependence | Weak convergence | Theorie | Theory | Nichtparametrisches Verfahren | Nonparametric statistics | Statistischer Test | Statistical test | Statistische Verteilung | Statistical distribution | Zeitreihenanalyse | Time series analysis | Bootstrap-Verfahren | Bootstrap approach | Multivariate Verteilung | Multivariate distribution | Ausreißer | Outliers |
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