Tail dependence measure for examining financial extreme co-movements

DOI10.1016/j.jeconom.2016.05.011zbMath1443.62329OpenAlexW3124700976MaRDI QIDQ308388

Yanxi Hou, Alexandru V. Asimit, Russell Gerrard, Liang Peng

Publication date: 6 September 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/13142/1/Rev1.pdf

zbMATH Keywords

copulaKendall's taumeasure of associationasymptotic dependence and independenceextreme co-movement

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistics of extreme values; tail inference (62G32)

Related Items (5)

Tail dependence of the Gaussian copula revisited ⋮ On kernel-based estimation of conditional Kendall's tau: finite-distance bounds and asymptotic behavior ⋮ Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations ⋮ ASYMPTOTICS FOR SYSTEMIC RISK WITH DEPENDENT HEAVY-TAILED LOSSES ⋮ Nonparametric inference for distortion risk measures on tail regions

Uses Software

• QRM

Cites Work

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