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A simple nonparametric test for structural change in joint tail probabilities

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  • Krämer, Walter
  • van Kampen, Maarten

Abstract

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.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 110 (2011)
Issue (Month): 3 (March)
Pages: 245-247

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Handle: RePEc:eee:ecolet:v:110:y:2011:i:3:p:245-247

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Stock returns Copulas Structural change;

References

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  1. Kristin Forbes & Roberto Rigobon, 1999. "No Contagion, Only Interdependence: Measuring Stock Market Co-movements," NBER Working Papers 7267, National Bureau of Economic Research, Inc.
  2. Fabio Busetti & Andrew Harvey, 2011. "When is a Copula Constant? A Test for Changing Relationships," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 9(1), pages 106-131, Winter.
  3. Kramer, Walter & Schotman, Peter, 1992. "Range vs. maximum in the OLS-based version of the CUSUM test," Economics Letters, Elsevier, Elsevier, vol. 40(4), pages 379-381, December.
  4. Ploberger, Werner & Kramer, Walter, 1992. "The CUSUM Test with OLS Residuals," Econometrica, Econometric Society, Econometric Society, vol. 60(2), pages 271-85, March.
  5. Campbell, Rachel A.J. & Forbes, Catherine S. & Koedijk, Kees G. & Kofman, Paul, 2008. "Increasing correlations or just fat tails?," Journal of Empirical Finance, Elsevier, Elsevier, vol. 15(2), pages 287-309, March.
  6. Sun Wei & Rachev Svetlozar & Stoyanov Stoyan V. & Fabozzi Frank J., 2008. "Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(2), pages 1-37, May.
  7. Fortin, Ines & Kuzmics, Christoph, 2002. "Tail-Dependence in Stock-Return Pairs," Economics Series, Institute for Advanced Studies 126, Institute for Advanced Studies.
  8. Ang, Andrew & Chen, Joseph, 2002. "Asymmetric correlations of equity portfolios," Journal of Financial Economics, Elsevier, Elsevier, vol. 63(3), pages 443-494, March.
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Cited by:
  1. Wied, Dominik & Dehling, Herold & van Kampen, Maarten & Vogel, Daniel, 2014. "A fluctuation test for constant Spearman’s rho with nuisance-free limit distribution," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 76(C), pages 723-736.
  2. Nicolai Bissantz & Verena Steinorth & Daniel Ziggel, 2011. "Stabilität von Diversifikationseffekten im Markowitz-Modell," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer, Springer, vol. 5(2), pages 145-157, August.

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