Detecting structural breaks in tail behaviour – from the perspective of fitting the generalized Pareto distribution

ISSN： 1466-4283

Source： Applied Economics, Vol.45, Iss.10, 2013-04, pp. : 1273-1286

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Detecting the number of structural breaks

By Kim I.-M.

Economics Letters, Vol. 57, Iss. 2, 1997-12 ,pp. : 145-148

Elsevier

Access to resources Recommend Favorite

Behaviour of cointegration tests in the presence of structural breaks in variance

By Noh Jaesun Kim Tae-Hwan

Applied Economics Letters, Vol. 10, Iss. 15, 2003-12 ,pp. : 999-1002

Routledge Ltd

Access to resources Recommend Favorite

Is East Asia an optimum currency area? A test of generalized purchasing power parity in the presence of structural breaks

By Nusair Salah A.

Journal of the Asia Pacific Economy, Vol. 17, Iss. 3, 2012-08 ,pp. : 399-425

Routledge Ltd

Access to resources Recommend Favorite

Stationarity and structural breaks - evidence from classical and Bayesian approaches

By Noriega A.E. de Alba E.

Economic Modelling, Vol. 18, Iss. 4, 2001-12 ,pp. : 503-524

Elsevier

Access to resources Recommend Favorite

Predicting a recession: evidence from the yield curve in the presence of structural breaks

By Chauvet M. Potter S.

Economics Letters, Vol. 77, Iss. 2, 2002-10 ,pp. : 245-253

Elsevier

Access to resources Recommend Favorite