2012-09-01
The simple econometrics of tail dependence
Publication
Publication
Economics Letters , Volume 116 - Issue 3 p. 371- 373
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.
| Additional Metadata | |
|---|---|
| , , | |
| doi.org/10.1016/j.econlet.2012.04.016, hdl.handle.net/1765/72699 | |
| Economics Letters | |
| Organisation | Erasmus School of Economics |
|
van Oordt, M., & Zhou, C. (2012). The simple econometrics of tail dependence. Economics Letters, 116(3), 371–373. doi:10.1016/j.econlet.2012.04.016 |
|