Measuring large comovements in financial markets
DOI10.1080/14697688.2010.495950zbMath1279.91194MaRDI QIDQ2873533
Rafael Schmidt, Jeremy Penzer, Friedrich Schmid
Publication date: 24 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2010.495950
copula; filtering; high-frequency data; tail dependence; Spearman's rho; multivariate dependence measure; tail diversification
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
62H05: Characterization and structure theory for multivariate probability distributions; copulas
91B84: Economic time series analysis
91G20: Derivative securities (option pricing, hedging, etc.)
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Cites Work
- Multivariate conditional versions of Spearman's rho and related measures of tail dependence
- Asymptotic normality of multivariate linear rank statistics in the non- i.i.d. case
- Estimating the tail-dependence coefficient: properties and pitfalls
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