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A structural break test for extremal dependence in β-mixing random vectors

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  • Y Hoga

Abstract

SummaryWe derive a structural break test for extremal dependence in $\beta$-mixing, possibly high-dimensional random vectors with either asymptotically dependent or asymptotically independent components. Existing tests require serially independent observations with asymptotically dependent components. To avoid estimating a long-run variance, we use self-normalization, which obviates the need to estimate the coefficient of tail dependence when components are asymptotically independent. Simulations show favourable empirical size and power of the test, which we apply to S&P 500 and DAX log-returns. We find evidence for one break in the coefficient of tail dependence for the upper and lower joint tail at the beginning of the 2007–08 financial crisis, leading to more extremal co-movement.

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  • Y Hoga, 2018. "A structural break test for extremal dependence in β-mixing random vectors," Biometrika, Biometrika Trust, vol. 105(3), pages 627-643.
    • Handle: RePEc:oup:biomet:v:105:y:2018:i:3:p:627-643.
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    File URL: http://hdl.handle.net/10.1093/biomet/asy030
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    Cited by:

    1. Yannick Hoga, 2022. "Quantifying the data-dredging bias in structural break tests," Statistical Papers, Springer, vol. 63(1), pages 143-155, February.
    2. Zifeng Zhao & Feiyu Jiang & Xiaofeng Shao, 2022. "Segmenting time series via self‐normalisation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(5), pages 1699-1725, November.
    3. Matthieu Garcin & Maxime L. D. Nicolas, 2021. "Nonparametric estimator of the tail dependence coefficient: balancing bias and variance," Papers 2111.11128, arXiv.org, revised Jul 2023.
    4. Christis Katsouris, 2023. "Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates," Papers 2302.05193, arXiv.org.
    5. Ji-Eun Choi & Dong Wan Shin, 2022. "Quantile correlation coefficient: a new tail dependence measure," Statistical Papers, Springer, vol. 63(4), pages 1075-1104, August.

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