Testing for changes in (extreme) VaR

DOI10.1111/ectj.12080OpenAlexW2560444659MaRDI QIDQ5093948

Yannick Hoga

Publication date: 2 August 2022

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/ectj.12080

zbMATH Keywords

functional central limit theorem\(\beta\)-mixingchange point testVaRtail index estimator

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (5)

Quantifying the data-dredging bias in structural break tests ⋮ Trends in Extreme Value Indices ⋮ Loss function-based change point detection in risk measures ⋮ Monitoring multivariate time series ⋮ Sequential monitoring of the tail behavior of dependent data

This page was built for publication: Testing for changes in (extreme) VaR