Testing for changes in (extreme) VaR
基于极端值理论中的Weissman估计量，开发了检验无条件小分位数（金融中的在险价值）是否发生变化的统计方法，适用于极端在险价值且允许弱相依数据，模拟和实证表明优于现有方法。
In this paper, we develop tests for a change in an unconditional small quantile (Value‐at‐Risk, VaR, in financial time series analysis) based on an estimator motivated by extreme value theory. This so‐called Weissman estimator allows tests to be applied for extreme VaR, where extant tests mostly fail. In view of applications, we allow for weakly dependent observations. Our test statistics rely on self‐normalization, which obviates the need to estimate the complicated asymptotic variance. Consistency is shown under local alternatives, where multiple breaks can occur. A simulation study shows that in finite samples our tests compare favourably in the tail region with extant tests based on order statistic estimators and also with tail index break tests. Two empirical examples serve to illustrate the practical use of our tests.