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Structural change tests in tail behaviour and the Asian crisis

Quintos, Carmela E.; Fan, Zhenhong; Phillips, Peter C. B. - In: The review of economic studies 68 (2001) 3, pp. 633-663

Persistent link: https://www.econbiz.de/10001608811

Structural change in tail behavior and the Asian financial crisis

Quintos, Carmela E.; Fan, Zhenhong; Phillips, Peter C. B. - 2000

Persistent link: https://www.econbiz.de/10001548868

Structural Change Tests in Tail Behaviour and the Asian Crisis

Quintos, Carmela - 2008

This paper explores tests of the hypothesis that the tail thickness of a distribution is constant over time. Using Hill's conditional maximum likelihood estimator for the tail index of a distribution, tests of tail shape constancy are constructed that allow for an unknown breakpoint. The...

Persistent link: https://www.econbiz.de/10012769331

Structural Change Tests in Tail Behaviour and the Asian Crisis

Quintos, Carmela; Fan, Zhenhong; Phillips, Peter C.B. - In: The review of economic studies 68 (2001) 236, pp. 633-664

Persistent link: https://www.econbiz.de/10007667973

Measuring Change in Tail Behavior

Quintos, Carmela; Fan, Zhenhong; Phillips, Peter C. B. - 2000

This paper explores tests of the hypotheses that the tail thickness of a distribution is constant over time. Using Hill's conditional maximum likelihood estimator for the tail index of a distribution, tests of tail shape constancy are constructed that allow for an unknown breakpoint. The...

Persistent link: https://www.econbiz.de/10014152767