Measuring large comovements in financial markets

DOI10.1080/14697688.2010.495950zbMath1279.91194OpenAlexW2134395639MaRDI 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

zbMATH Keywords

copulafilteringhigh-frequency datatail dependenceSpearman's rhomultivariate dependence measuretail diversification

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) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

A new time-varying optimal copula model identifying the dependence across markets ⋮ Multivariate extensions of Spearman's rho and related statistics

Uses Software

• QRM

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
• Bivariate option pricing using dynamic copula models
• A dependence measure for multivariate and spatial extreme values: Properties and inference
• Multivariate extremes, aggregation and dependence in elliptical distributions
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Multivariate Nonparametric Tests of Independence

This page was built for publication: Measuring large comovements in financial markets