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The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation, especially in credit risk estimation. This makes it difficult, for example, to find statistically significant temporal structures in the data on the single asset level. By contrast,...
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The relationship between the theory of elliptically contoured distributions and the concept of tail dependence is investigated. We show that bivariate elliptical distributions possess the so-called tail dependence property if the tail of their generating random variable is regularly varying, and...
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The relationship between the theory of elliptically contoured distributions and the concept of tail dependence is investigated. We show that bivariate elliptical distributions possess the so-called tail dependence property if the tail of their generating random variable is regularly varying, and...
Persistent link: https://www.econbiz.de/10010999693
A new family of conditional-dependence measures based on Spearman's rho is introduced. The corresponding multidimensional versions are established. Asymptotic distributional results are derived for related estimators which are based on the empirical copula. Particular emphasis is placed on a new...
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