A simple nonparametric test for structural change in joint tail probabilities

C-Tier
Journal: Economics Letters
Year: 2011
Volume: 110
Issue: 3
Pages: 245-247

Authors (2)

Krämer, Walter (Universität Dortmund) van Kampen, Maarten (not in RePEc)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We propose a new test against a change in the probability of multivariate tail events. The test is based on partial sums of a suitably defined indicator function and detects multiple changes in joint tail probabilities better than a previously suggested competitor.

Technical Details

RePEc Handle
repec:eee:ecolet:v:110:y:2011:i:3:p:245-247
Journal Field
General
Author Count
2
Added to Database
2026-01-25