IDEAS home Printed from https://ideas.repec.org/p/hal/journl/halshs-00180865.html

Empirical Estimation of Tail Dependence Using Copulas. Application to Asian Markets

Author

Listed:
  • Cyril Caillault

    (IDHE - Institutions et Dynamiques Historiques de l'Economie - ENS Cachan - École normale supérieure - Cachan - UP1 - Université Paris 1 Panthéon-Sorbonne - UP8 - Université Paris 8 - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Dominique Guegan

    (IDHE - Institutions et Dynamiques Historiques de l'Economie - ENS Cachan - École normale supérieure - Cachan - UP1 - Université Paris 1 Panthéon-Sorbonne - UP8 - Université Paris 8 - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

Abstract

This paper introduces non-parametric estimators for upper and lower tail dependence whose confidence intervals are obtained with a bootstrap method. We call these estimators "Naïve estimators" as they represent a discretization of Joe's formulae (1997)\nocite{Joe} linking copulas to tail dependence. We apply the methodology to an empirical data set composed of three composite indexes for the three Tigers (Thailand, Malaysia and Indonesia). The extremes show a dependence structure which is symmetric for the Thai and Malaysian markets and asymmetric for the Thai and Indonesian markets and for the Malaysian and the Indonesian markets. Using these results we estimate the copula (which belongs to the Student or Archimedean copula families) for each pair of markets by two methods. Finally, we provide risk measurements using the best copula associated to each pair of markets.

Suggested Citation

  • Cyril Caillault & Dominique Guegan, 2005. "Empirical Estimation of Tail Dependence Using Copulas. Application to Asian Markets," Post-Print halshs-00180865, HAL.
    • Handle: RePEc:hal:journl:halshs-00180865
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00180865v1
    as

    Download full text from publisher

    File URL: https://shs.hal.science/halshs-00180865v1/document
    Download Restriction: no
    ---><---

    Other versions of this item:

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:halshs-00180865. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.