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Multivariate conditional versions of Spearman's rho and related measures of tail dependence

Listed author(s):
  • Schmid, Friedrich
  • Schmidt, Rafael
Registered author(s):

    A new family of conditional-dependence measures based on Spearman's rho is introduced. The corresponding multidimensional versions are established. Asymptotic distributional results are derived for related estimators which are based on the empirical copula. Particular emphasis is placed on a new type of multidimensional tail-dependence measure and its relationship to other measures of tail dependence is shown. Multivariate tail dependence describes the limiting amount of dependence in the vertices of the copula's domain.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0047-259X(06)00066-2
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    Article provided by Elsevier in its journal Journal of Multivariate Analysis.

    Volume (Year): 98 (2007)
    Issue (Month): 6 (July)
    Pages: 1123-1140

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    Handle: RePEc:eee:jmvana:v:98:y:2007:i:6:p:1123-1140
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    1. Rafael Schmidt & Ulrich Stadtmüller, 2006. "Non-parametric Estimation of Tail Dependence," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 33(2), pages 307-335.
    2. Joe, Harry, 1990. "Multivariate concordance," Journal of Multivariate Analysis, Elsevier, vol. 35(1), pages 12-30, October.
    3. Frahm, Gabriel & Junker, Markus & Schmidt, Rafael, 2005. "Estimating the tail-dependence coefficient: Properties and pitfalls," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 80-100, August.
    4. Kristin Forbes & Roberto Rigobon, 1999. "No Contagion, Only Interdependence: Measuring Stock Market Co-movements," NBER Working Papers 7267, National Bureau of Economic Research, Inc.
    5. Schlather, Martin, 2001. "Examples for the coefficient of tail dependence and the domain of attraction of a bivariate extreme value distribution," Statistics & Probability Letters, Elsevier, vol. 53(3), pages 325-329, June.
    6. Campbell, Rachel & Koedijk, Kees & Kofman, Paul, 2002. "Increased Correlation in Bear markets: A Downside Risk Perspective," CEPR Discussion Papers 3172, C.E.P.R. Discussion Papers.
    7. Rafael Schmidt, 2002. "Tail dependence for elliptically contoured distributions," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 55(2), pages 301-327, May.
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