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The simple econometrics of tail dependence

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  • van Oordt, Maarten R.C.
  • Zhou, Chen

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.

Suggested Citation

  • van Oordt, Maarten R.C. & Zhou, Chen, 2012. "The simple econometrics of tail dependence," Economics Letters, Elsevier, vol. 116(3), pages 371-373.
    • Handle: RePEc:eee:ecolet:v:116:y:2012:i:3:p:371-373
    DOI: 10.1016/j.econlet.2012.04.016
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    References listed on IDEAS

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    11. Longin, Francois & Solnik, Bruno, 1995. "Is the correlation in international equity returns constant: 1960-1990?," Journal of International Money and Finance, Elsevier, vol. 14(1), pages 3-26, February.
    12. S. T. M. Straetmans & W. F. C. Verschoor & C. C. P. Wolff, 2008. "Extreme US stock market fluctuations in the wake of 9|11," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 17-42.
    13. Ser-Huang Poon, 2004. "Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications," The Review of Financial Studies, Society for Financial Studies, vol. 17(2), pages 581-610.
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    Citations

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    Cited by:

    1. Francine Gresnigt & Erik Kole & Philip Hans Franses, 2017. "Specification Testing in Hawkes Models," Journal of Financial Econometrics, Oxford University Press, vol. 15(1), pages 139-171.
    2. Christina Bui, 2018. "Bank Regulation and Financial Stability," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5-2018, January-A.
    3. Christophe Boucher & Sessi Tokpavi, 2019. "Stocks and Bonds: Flight-to-Safety for Ever?," Post-Print hal-02067096, HAL.
    4. Qiubin Huang & Jakob De Haan & Bert Scholtens, 2019. "Analysing Systemic Risk in the Chinese Banking System," Pacific Economic Review, Wiley Blackwell, vol. 24(2), pages 348-372, May.
    5. Algieri, Bernardina & Leccadito, Arturo, 2017. "Assessing contagion risk from energy and non-energy commodity markets," Energy Economics, Elsevier, vol. 62(C), pages 312-322.
    6. Christophe Boucher & Sessi Tokpavi, 2018. "Stocks and Bonds: Flight-to-Safety for Ever?," Working Papers hal-04141705, HAL.
    7. JOOCHEOl KIM & SUNGHO KIM, 2014. "Multivariate Tail Dependence in Financial Markets," Working papers 2014rwp-71, Yonsei University, Yonsei Economics Research Institute.
    8. Sessi Tokpavi & Christophe Boucher, 2018. "Stocks and Bonds: Flight-to-Safety for Ever?," EconomiX Working Papers 2018-39, University of Paris Nanterre, EconomiX.

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    More about this item

    Keywords

    Tail dependence; Regression analysis; Extreme Value Theory;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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