Structural Change Tests in Tail Behaviour and the Asian Crisis

By Carmela Quintos, Zhenhong Fan, Peter C. B. Phillips. 2001

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ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA (2010, methodology): “See Mason (1982), Hall (1982), Davis and Resnick (1984), Hall and Welsh (1984), Haeusler and Teugels (1985), Rootzén et al. (1990), Hsing (1991, 1993), Resnick and Stărică (1995, 1998), de Haan and Resnick (1998), and Quintos et al. (2001).”
Testing for Differences in the Tails of Stock-Market Returns (2003, background): “…a set of 20 emerging markets, while Bekaert and Harvey (1997), using the same data, studied the determinants of volatility in emerging markets.2 The only paper, to our knowledge, which explicitly investigated the behavior of extreme returns in emerging markets is the paper by Quintos et al. (2001).”
Inhomogeneous Dependence Modeling with Time-Varying Copulae (2009, unknown): “In a different set up, Quintos, Fan, and Philips (2001) test for a constant tail index coefficient in Asian equity data against a break at an unknown point.”
Tail Risk and Asset Prices (2014, unknown): “(19)Richardson and Smith (1991), Hodrick (1992) and Boudoukh and Richardson (1993) (among others) have noted the inferential problems concomitant with overlapping horizon predictive regressions.”