Universität zu Köln

Hoga, Yannick ORCID: 0000-0002-6332-5561 and Wied, Dominik (2017). Sequential monitoring of the tail behavior of dependent data. J. Stat. Plan. Infer., 182. S. 29 - 50. AMSTERDAM: ELSEVIER. ISSN 1873-1171

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Abstract

We construct a sequential monitoring procedure for changes in the tail index and extreme quantiles of beta-mixing random variables, which can be based on a large class of tail index estimators. The assumptions on the data are general enough to be satisfied in a wide range of applications. In a simulation study empirical sizes and power of the proposed tests are studied for linear and non-linear time series. Finally, we use our results to monitor Bank of America stock log-losses from 2007 to 2012 and detect changes in extreme quantiles without an accompanying detection of a tail index break. (C) 2016 Elsevier B.V. All rights reserved.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Hoga, Yannick UNSPECIFIED orcid.org/0000-0002-6332-5561 UNSPECIFIED Wied, Dominik UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-239447
DOI:	10.1016/j.jspi.2016.08.010
Journal or Publication Title:	J. Stat. Plan. Infer.
Volume:	182
Page Range:	S. 29 - 50
Date:	2017
Publisher:	ELSEVIER
Place of Publication:	AMSTERDAM
ISSN:	1873-1171
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language STOCHASTIC VOLATILITY; STRUCTURAL-CHANGE; EMPIRICAL PROCESS; PARAMETERS; INFERENCE; MEMORY Multiple languages Statistics & Probability Multiple languages
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/23944