Measuring large comovements in financial markets

DOI10.1080/14697688.2010.495950MaRDI QIDQ2873533zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

copulatail dependenceSpearman's rhofilteringhigh-frequency datamultivariate dependence measuretail diversification

Mathematics Subject Classification ID

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)

Recommendations

• Extreme Financial Risks
• Copulas, tail dependence and applications to the analysis of financial time series
• Multivariate conditional versions of Spearman's rho and related measures of tail dependence
• Interplay between distributional and temporal dependence. An empirical study with high-frequency asset returns
• Tail dependence measure for examining financial extreme co-movements

Cites work

• A dependence measure for multivariate and spatial extreme values: Properties and inference
• Asymptotic normality of multivariate linear rank statistics in the non- i.i.d. case
• Bivariate option pricing using dynamic copula models
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Estimating the tail-dependence coefficient: properties and pitfalls
• Multivariate Nonparametric Tests of Independence
• Multivariate conditional versions of Spearman's rho and related measures of tail dependence
• Multivariate extremes, aggregation and dependence in elliptical distributions

Cited in

(12)

• scientific article; zbMATH DE number 2095964 (Why is no real title available?)
• 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

Describes a project that uses

Uses Software

• QRM

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