This paper proposes IV-based estimators for the semiparametric distribution regression model in the presence of an endogenous regressor, which are based on an extension of IV probit estimators. We discuss the causal interpretation of the estimators and two methods (monotone rearrangement and...

We propose a nonparametric procedure to test for changes in correlation matrices at an unknown point in time. The new test requires constant expectations and variances, but only mild assumptions on the serial dependence structure and has considerable power in finite samples. We derive the...

The present paper proposes new tests for detecting structural breaks in the tail dependence of multivariate time series using the concept of tail copulas. To obtain asymptotic properties, we derive a new limit result for the sequential empirical tail copula process. Moreover, consistency of both...