A simple nonparametric test for structural change in joint tail probabilities
AbstractWe 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 InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 110 (2011)
Issue (Month): 3 (March)
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Stock returns Copulas Structural change;
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