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CHANGE POINT TESTS FOR THE TAIL INDEX OF β-MIXING RANDOM VARIABLES

Published online by Cambridge University Press:  06 June 2016

Yannick Hoga
Yannick Hoga*
Affiliation:
University of Duisburg-Essen
*
*Address correspondence to Yannick Hoga, Faculty of Economics and Business Administration, University of Duisburg-Essen, Universitätsstraße 12, D-45117 Essen, Germany, tel. +49 201 1834365, e-mail: yannick.hoga@vwl.uni-due.de.
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Abstract

The tail index as a measure of tail thickness provides information that is not captured by standard volatility measures. It may however change over time. Currently available procedures for detecting those changes for dependent data (e.g., Quintos et al., 2001) are all based on comparing Hill (1975) estimates from different subsamples. We derive tests for a wide class of other tail index estimators. The limiting distribution of the test statistics is shown not to depend on the particular choice of the estimator, while the assumptions on the dependence structure allow for sufficient generality in applications. A simulation study investigates empirical sizes and powers of the tests in finite samples.

Type
ARTICLES
Information
Econometric Theory , Volume 33 , Issue 4 , August 2017 , pp. 915 - 954
Copyright
Copyright © Cambridge University Press 2016 

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Footnotes

The author would like to thank seminar participants at TU Dortmund for helpful discussion. Furthermore, the author is indebted to two anonymous referees and Christoph Hanck for their detailed comments, that greatly improved the quality of the paper. Full responsibility is taken for all remaining errors. Support of DFG (HA 6766/2-1) is gratefully acknowledged.

References

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