As agriculture becomes more industrialized, the role of risk measures such as value-at-risk (VaR) will become more utilized. In this case it was applied to geographical diversification and also modifying the traditional VaR estimation by incorporating a copula dependence parameter into the VaR...

As agriculture becomes more industrialized, the role of risk measures such as value-at-risk (VaR) will become more utilized. In this case it was applied to geographical diversification and also modifying the traditional VaR estimation by incorporating a copula dependence parameter into the VaR...

Purpose – The purpose of this paper is to examine the degree of dependence and extreme correlation (i.e. tail dependence) among US industry sectors. Design/methodology/approach – This paper makes use of both conventional measures of dependence (the Pearson’s correlation coefficient,...