Measuring large comovements in financial markets
DOI10.1080/14697688.2010.495950zbMATH Open1279.91194OpenAlexW2134395639MaRDI QIDQ2873533FDOQ2873533
Authors: Jeremy Penzer, Friedrich Schmid, Rafael Schmidt 
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
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copulatail dependenceSpearman's rhofilteringhigh-frequency datamultivariate dependence measuretail diversification
Derivative securities (option pricing, hedging, etc.) (91G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)
Cites Work
- Bivariate option pricing using dynamic copula models
- A dependence measure for multivariate and spatial extreme values: Properties and inference
- Multivariate conditional versions of Spearman's rho and related measures of tail dependence
- Multivariate extremes, aggregation and dependence in elliptical distributions
- Multivariate Nonparametric Tests of Independence
- Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
- Estimating the tail-dependence coefficient: properties and pitfalls
- Asymptotic normality of multivariate linear rank statistics in the non- i.i.d. case
Cited In (12)
- A new time-varying optimal copula model identifying the dependence across markets
- Quantifying and understanding the economics of large financial movements
- Tail dependence measure for examining financial extreme co-movements
- Consistent Estimation of Multiple Breakpoints in Dependence Measures
- Large returns, conditional correlation and portfolio diversification: a value-at-risk approach
- Dependence structures for multivariate high-frequency data in finance
- Copulas, tail dependence and applications to the analysis of financial time series
- Tail diversification strategy. An application to MSCI World Sector Indices
- Extreme Financial Risks
- Interplay between distributional and temporal dependence. An empirical study with high-frequency asset returns
- Multivariate extensions of Spearman's rho and related statistics
- Title not available (Why is that?)
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