A simple nonparametric test for structural change in joint tail probabilities

Economics Letters

Volumn 110, Issue 3, 2011, Pages 245-247

  Krämer, Walter ^a   van Kampen, Maarten ^a,b  

^a TU DORTMUND UNIVERSITY   (Germany)

^b Ruhr Graduate School in Economics   (Germany)

Author keywords

Copulas; Stock returns; Structural change

Indexed keywords

EID: 78650791076     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2010.12.008     Document Type: Article

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