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

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