The simple econometrics of tail dependence

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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 languageEnglish
Pages (from-to)313-373
JournalEconomics Letters
Volume116
Issue number3
DOIs
Publication statusPublished - Sep 2012
Externally publishedYes

Keywords

  • Tail dependence
  • Regression analysis
  • Extreme value theory
  • Risk management

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