Multiple structural changes in the tail behavior: Evidence from stock index futures returns

DOI10.1016/j.nonrwa.2007.05.011zbMath1154.91612OpenAlexW1981387380MaRDI QIDQ1003235

J. Martínez

Publication date: 27 February 2009

Published in: Nonlinear Analysis. Real World Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.nonrwa.2007.05.011

zbMATH Keywords

extreme value analysismultiple structural changestail-index

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Economic time series analysis (91B84)

Related Items (1)

ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH

Cites Work

• A simple general approach to inference about the tail of a distribution
• Structural Change Tests in Tail Behaviour and the Asian Crisis
• Estimating and Testing Linear Models with Multiple Structural Changes

This page was built for publication: Multiple structural changes in the tail behavior: Evidence from stock index futures returns