DETECTING AND MODELING TAIL DEPENDENCE

DOI10.1142/S0219024904002426zbMATH Open1088.91032MaRDI QIDQ4653012FDOQ4653012

Authors: Fabio Bellini 

Publication date: 28 February 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

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zbMATH Keywords

Markov chainrunsefficient market hypothesisTail dependenceGarch

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cites Work

• Estimating tails of probability distributions
• Title not available (Why is that?)
• A POWER FUNCTION FOR TESTS OF RANDOMNESS IN A SEQUENCE OF ALTERNATIVES

Cited In (12)

• Detection of Dependent Heavy-Tailed Signals
• Conditional tail behaviour and Value at Risk
• On detecting the dependence of time series
• Runs tests for assessing volatility forecastability in financial time series
• Nonstationary modelling of tail dependence of two subjects' concentration
• Tail dependence from a distributional point of view
• An ordinal pattern approach to detect and to model leverage effects and dependence structures between financial time series
• Detecting serial dependence in tail events: a test dual to the BDS test
• Nonparametric estimation of expected shortfall via Bahadur-type representation and Berry–Esséen bounds
• Tail behavior and dependence structure in the APARCH model
• Title not available (Why is that?)
• On tail trend detection: modeling relative risk

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