Structural Change Tests in Tail Behaviour and the Asian Crisis
提出检验分布尾部厚度是否随时间变化的统计方法，利用Hill条件最大似然估计量构造允许未知断点的检验，并应用于泰国、马来西亚和印度尼西亚的股票价格数据，分析亚洲金融危机期间资产收益分布的断点。
This paper explores tests of the hypothesis that the tail thickness of a distribution is constant over time. Using Hill’s conditional maximum likelihood estimator for the tail index of a distribution, tests of tail shape constancy are constructed that allow for an unknown breakpoint. The recursive test is shown to be inconsistent in one direction, and only a one-sided test is recommended. Specifically, the test can be used when the alternative hypothesis is that the tail index decreases over time. A rolling and sequential version of the test is consistent in both directions. The methods are illustrated on recent stock price data for Thailand, Malaysia and Indonesia. The period covers the recent Asian financial crisis and enables us to assess whether breakpoints in domestic asset return distributions are related to known changes in institutional arrangements in the foreign currency markets of these countries. 1.