A simple nonparametric test for structural change in joint tail probabilities

Walter Krämer and Maarten van Kampen

Economics Letters, 2011, vol. 110, issue 3, 245-247

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.

Keywords: Stock; returns; Copulas; Structural; change (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (6)

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