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

Maarten R.C. van Oordt
, Chen Zhou

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

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10.1016/j.econlet.2012.04.016

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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",

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

language = "English",

volume = "116",

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journal = "Economics Letters",

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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.

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KW - Regression analysis

KW - Extreme value theory

KW - Risk management

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DO - 10.1016/j.econlet.2012.04.016

M3 - Article

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VL - 116

SP - 313

EP - 373

JO - Economics Letters

JF - Economics Letters

IS - 3

ER -

The simple econometrics of tail dependence

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Keywords

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