Nonparametric tests for constant tail dependence with an application to energy and finance

dc.contributor.author	Bücher, Axel
dc.contributor.author	Jäschke, Stefan
dc.contributor.author	Wied, Dominik
dc.date.accessioned	2013-08-14T09:15:16Z
dc.date.available	2013-08-14T09:15:16Z
dc.date.issued	2013-08-14
dc.description.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.	en
dc.identifier.uri	http://hdl.handle.net/2003/30479
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-5511
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823;28/2013
dc.subject	Change-point detection	en
dc.subject	Multiplier bootstrap	en
dc.subject	Tail dependence	en
dc.subject	Weak convergence	en
dc.subject.ddc	310
dc.subject.ddc	330
dc.subject.ddc	620
dc.title	Nonparametric tests for constant tail dependence with an application to energy and finance	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access

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