An Information-Based Approach to the Change-Point Problem of the Noncentral Skew t Distribution with Applications to Stock Market Data

Abstract

The change-point problem for the noncentral skew t distribution is studied in this article. An approach based on Schwartz information criterion (SIC) is used to detect the changes of the parameters of this distribution. Simulations are conducted to illustrate the performance of the proposed procedure. The method is successfully applied to the stock returns of several Latin American countries.

Keywords:

• Change-point
• Maximum likelihood estimate
• Schwarz information criterion
• Skew t distribution

Subject Classification:

• 62L10
• 62F03
• 62F05
• 60P20

ACKNOWLEDGMENTS

The authors would like to thank the editor and referees for their valuable time and suggestions. They also would like to thank Professors Arellano-Valle, Castro, and Loschi for providing the Latin American market data sets that were used in this article.

Notes

Recommended by Nitis Mukhopadhyay

Color versions of one or more of the figures in the article can be found online at http://www.tandfonline.com/lsqa.