The simple econometrics of tail dependence

Maarten R.C. van Oordt; Chen Zhou

doi:10.1016/j.econlet.2012.04.016

The simple econometrics of tail dependence

Research output: Contribution to Journal › Article › Academic › peer-review

Abstract

This paper provides a regression approach to estimate tail dependence measures. The estimates coincide with the non-parametric estimates following Extreme Value Theory. The approach can easily be extended to higher dimensional analysis. We provide an example on international stock markets.

Original language	English
Pages (from-to)	313-373
Journal	Economics Letters
Volume	116
Issue number	3
DOIs	https://doi.org/10.1016/j.econlet.2012.04.016
Publication status	Published - Sept 2012
Externally published	Yes

Keywords

Tail dependence
Regression analysis
Extreme value theory
Risk management

Access to Document

10.1016/j.econlet.2012.04.016

Handle.net

Persistent link

Cite this

@article{3b8a8d3fe6e443d6a92877c3bcd31bde,

title = "The simple econometrics of tail dependence",

abstract = "This paper provides a regression approach to estimate tail dependence measures. The estimates coincide with the non-parametric estimates following Extreme Value Theory. The approach can easily be extended to higher dimensional analysis. We provide an example on international stock markets.",

keywords = "Tail dependence, Regression analysis, Extreme value theory, Risk management",

author = "Oordt, {Maarten R.C. van} and Chen Zhou",

year = "2012",

month = sep,

doi = "10.1016/j.econlet.2012.04.016",

language = "English",

volume = "116",

pages = "313--373",

journal = "Economics Letters",

issn = "0165-1765",

publisher = "Elsevier",

number = "3",

}

TY - JOUR

T1 - The simple econometrics of tail dependence

AU - Oordt, Maarten R.C. van

AU - Zhou, Chen

PY - 2012/9

Y1 - 2012/9

N2 - This paper provides a regression approach to estimate tail dependence measures. The estimates coincide with the non-parametric estimates following Extreme Value Theory. The approach can easily be extended to higher dimensional analysis. We provide an example on international stock markets.

AB - This paper provides a regression approach to estimate tail dependence measures. The estimates coincide with the non-parametric estimates following Extreme Value Theory. The approach can easily be extended to higher dimensional analysis. We provide an example on international stock markets.

KW - Tail dependence

KW - Regression analysis

KW - Extreme value theory

KW - Risk management

U2 - 10.1016/j.econlet.2012.04.016

DO - 10.1016/j.econlet.2012.04.016

M3 - Article

SN - 0165-1765

VL - 116

SP - 313

EP - 373

JO - Economics Letters

JF - Economics Letters

IS - 3

ER -