Choice of Copulas in Explaining Stock Market Contagion

DOI10.1007/978-3-642-35443-4_9zbMath1322.91058OpenAlexW1567480850MaRDI QIDQ2950562

Kian-Guan Lim

Publication date: 9 October 2015

Published in: Uncertainty Analysis in Econometrics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-35443-4_9

zbMATH Keywords

Kullback-Leibler distanceArchimedean copulasconditional tail lossesstock market contagion

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Economic time series analysis (91B84)

Cites Work

• Tail risk of multivariate regular variation
• Tail conditional expectation for the multivariate Pareto distribution of the second kind: Another approach
• On a multivariate Pareto distribution
• Multivariate generalized Pareto distributions
• Orthant tail dependence of multivariate extreme value distributions
• Tail dependence for multivariate copulas and its monotonicity
• Some properties and characterizations for generalized multivariate Pareto distributions
• Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions
• Multivariate Pareto Distributions
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