|Title:||Nonparametric tests for constant tail dependence with an application to energy and finance|
|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|
|Appears in Collections:||Sonderforschungsbereich (SFB) 823|
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|DP_2813_SFB823_Bücher_Jäschke_Wied.pdf||DNB||564.56 kB||Adobe PDF||View/Open|
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