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  • Search: subject:"Varying threshold values"
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Extreme value theory 1 Risk analysis 1 Tail dependence 1 Testing (tail) independence 1 Varying threshold values 1
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Free 1
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Article 1
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Undetermined 1
Author
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Wu, Jian 1 Zhang, Zhengjun 1 Zhao, Yong 1
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Journal of Reviews on Global Economics 1
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RePEc 1
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Study of the Tail Dependence Structure in Global Financial Markets Using Extreme Value Theory
Wu, Jian; Zhang, Zhengjun; Zhao, Yong - In: Journal of Reviews on Global Economics 1 (2012), pp. 62-81
The presence of tail dependencies invalidates the multivariate normality assumptions in portfolio risk management. The identification of tail (in)dependencies has drawn major attention in empirical financial studies. Yet it is still a challenging issue both theoretically and practically....
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