Tail dependence measure for examining financial extreme co-movements

DOI10.1016/J.JECONOM.2016.05.011zbMATH Open1443.62329OpenAlexW3124700976MaRDI QIDQ308388FDOQ308388

Authors: Alexandru V. Asimit, Russell Gerrard, Yanxi Hou, 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

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zbMATH Keywords

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

Mathematics Subject Classification ID

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

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Cited In (11)

• A note on tail dependence regression
• Dynamic modeling of tail risk: Applications to China, Hong Kong and other Asian markets
• Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations
• Nonparametric inference for distortion risk measures on tail regions
• On kernel-based estimation of conditional Kendall's tau: finite-distance bounds and asymptotic behavior
• Asymptotics for systemic risk with dependent heavy-tailed losses
• Title not available (Why is that?)
• An analysis of a heuristic procedure to evaluate tail (in)dependence
• Measuring large comovements in financial markets
• Tail dependence of the Gaussian copula revisited
• Improving financial risk assessment through dependency

Uses Software

• QRM

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