The simple econometrics of tail dependence
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More about this item
KeywordsTail dependence; Regression analysis; Extreme Value Theory; Systemic risk;
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-05-30 (All new papers)
- NEP-BAN-2011-05-30 (Banking)
- NEP-ECM-2011-05-30 (Econometrics)
- NEP-RMG-2011-05-30 (Risk Management)
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