Nonparametric tests for constant tail dependence with an application to energy and finance
尾部依赖恒定性的非参数检验及能源与金融应用
New tests for detecting structural breaks in the tail dependence of multivariate time series using the concept of tail copulas are presented. 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 break-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…