Multiple structural changes in the tail
✍
C.-H. Lin; T.-C. Kao
📂
Article
📅
2008
🏛
Elsevier Science
🌐
English
⚖ 305 KB
The study provides an approach of nonlinear analysis for detecting multiple structural changes in the tails of financial returns distributions. The proposed approach can simultaneously determine the number of structural breaks in a series of tail-indexes and estimate the mean tail-index levels in di