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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