The simple econometrics of tail dependence

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.

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Year of publication:	2012
Authors:	Oordt, Maarten R.C. van ; Zhou, Chen
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 116.2012, 3, p. 371-373
Publisher:	Elsevier
Subject:	Tail dependence \| Regression analysis \| Extreme Value Theory

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Type of publication:	Article
Classification:	C14 - Semiparametric and Nonparametric Methods ; c58
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010594073