SFB 823 Nonparametric tests for constant tail dependence with an application to energy and finance Discussion Paper Nonparametric tests for constant tail dependence with an application to energy and finance

Abstract The present paper proposes new tests for detecting structural breaks in the tail dependence of multivariate time series using the concept of tail copulas. To obtain asymptotic properties, we derive a new limit result for the sequential empirical tail copula process. Moreover, consistency of both the tests and a change-point estimator are proven. We analyze the finite sample behavior of the tests by Monte Carlo simulations. Finally, and crucial from a risk management perspective, we apply the new findings to datasets from energy and financial markets

Nonparametric tests for constant tail dependence with an application to energy and finance

The present paper proposes new tests for detecting structural breaks in the tail dependence of multivariate time series using the concept of tail copulas. To obtain asymptotic properties, we derive a new limit result for the sequential empirical tail copula process. Moreover, consistency of both the tests and a change-point estimator are proven. We analyze the finite sample behavior of the tests by Monte Carlo simulations. Finally, and crucial from a risk management perspective, we apply the new findings to datasets from energy and financial markets

The VLDB Journal manuscript No. (will be inserted by the editor) The Social Bookmark and Publication Management System BibSonomy A Platform for Evaluating and Demonstrating Web 2.0 Research

Abstract Social resource sharing systems are central elements of the Web 2.0 and use the same kind of lightweight knowledge representation, called folksonomy. Their large user communities and ever-growing networks of user-generated content have made them an attractive object of investigation for researchers from different disciplines like Social Network Analysis, Data Mining, Information Retrieval or Knowledge Discovery. In this paper, we summarize and extend our work on different aspects of this branch of Web 2.0 research, demonstrated and evaluated within our own social bookmark and publication sharing system BibSonomy, which is currently among the three most popular systems of its kind. We structure this presentation along the different interaction phases of a user with our system, coupling the relevant research questions of each phase with the corresponding implementation issues. This approach reveals in a systematic fashion important aspects and results of the broad bandwidth of folksonomy research like capturing of emergent semantics, spam detection, ranking algorithms, analogies to search engine log data, personalized tag recommendations and information extraction techniques. We conclude that when integrating a real-life application like BibSonomy into research, certain constraints have to be considered; but in general, the tight interplay between our scientific work and the running system has made BibSonomy a valuable platform for demonstrating and evaluating Web 2.0 research.