A simple graphical method to explore tail-dependence in stock-return pairs
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References listed on IDEAS
- Thierry Roncalli & Gael Riboulet & Ashkan Nikeghbali & Vado Durrleman & Erick Bouy?, 2001. "Copulas: an Open Field for Risk Management," Working Papers wp01-01, Warwick Business School, Finance Group.
- Fortin, Ines & Kuzmics, Christoph, 2002. "Tail-Dependence in Stock-Return Pairs," Economics Series 126, Institute for Advanced Studies.
- François Longin, 2001. "Extreme Correlation of International Equity Markets," Journal of Finance, American Finance Association, vol. 56(2), pages 649-676, April.
- Fisher N. I. & Switzer P., 2001. "Graphical Assessment of Dependence: Is a Picture Worth 100 Tests?," The American Statistician, American Statistical Association, vol. 55, pages 233-239, August.
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- Alex YiHou Huang, 2009. "A value-at-risk approach with kernel estimator," Applied Financial Economics, Taylor & Francis Journals, vol. 19(5), pages 379-395.
- Rodríguez, Jhan & Bárdossy, András, 2015. "Entropy measure for the quantification of upper quantile interdependence in multivariate distributions," Journal of Multivariate Analysis, Elsevier, vol. 140(C), pages 317-324.
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