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

摘要

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.