A simple nonparametric test for structural change in joint tail probabilities
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- Nicolai Bissantz & Verena Steinorth & Daniel Ziggel, 2011. "Stabilität von Diversifikationseffekten im Markowitz-Modell," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 5(2), pages 145-157, August.
- 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, vol. 76(C), pages 723-736.
- Li, Fuxiao & Tian, Zheng & Xiao, Yanting & Chen, Zhanshou, 2015. "Variance change-point detection in panel data models," Economics Letters, Elsevier, vol. 126(C), pages 140-143.
- Bücher, Axel & Jäschke, Stefan & Wied, Dominik, 2015. "Nonparametric tests for constant tail dependence with an application to energy and finance," Journal of Econometrics, Elsevier, vol. 187(1), pages 154-168.
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KeywordsStock returns Copulas Structural change;
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