Authors: | Bücher, Axel Jäschke, Stefan Wied, Dominik |
Title: | Nonparametric tests for constant tail dependence with an application to energy and finance |
Language (ISO): | en |
Abstract: | The present paper proposes new tests for detecting structural breaks in the tail dependence of multivariate time series using the concept of tail copulas. To obtain asymptotic properties, we derive a new limit result for the sequential empirical tail copula process. Moreover, consistency of both the tests and a change-point estimator are proven. We analyze the finite sample behavior of the tests by Monte Carlo simulations. Finally, and crucial from a risk management perspective, we apply the new findings to datasets from energy and financial markets. |
Subject Headings: | Change-point detection Multiplier bootstrap Tail dependence Weak convergence |
URI: | http://hdl.handle.net/2003/30479 http://dx.doi.org/10.17877/DE290R-5511 |
Issue Date: | 2013-08-14 |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
DP_2813_SFB823_Bücher_Jäschke_Wied.pdf | DNB | 564.56 kB | Adobe PDF | View/Open |
This item is protected by original copyright |
This item is protected by original copyright
rightsstatements.org