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Modelling total tail dependence along diagonals

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  • Zhang, Ming-Heng

Abstract

An approach to modelling total tail dependence beyond the main diagonals is proposed. The concept introduced combines the principal and minor diagonals to describe total extreme dependence. A framework is introduced for the measurement of total tail dependence under model mixture. Illustrations are presented using empirical data on stock market indices and exchange rates. An extension is provided to the multivariate case and total tail dependence is considered for model mixtures.

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  • Zhang, Ming-Heng, 2008. "Modelling total tail dependence along diagonals," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 73-80, February.
    • Handle: RePEc:eee:insuma:v:42:y:2008:i:1:p:73-80
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    References listed on IDEAS

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    Cited by:

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    2. Wu, Shaomin, 2014. "Construction of asymmetric copulas and its application in two-dimensional reliability modelling," European Journal of Operational Research, Elsevier, vol. 238(2), pages 476-485.
    3. Karl Friedrich Siburg & Christopher Strothmann & Gregor Wei{ss}, 2022. "Comparing and quantifying tail dependence," Papers 2208.10319, arXiv.org.
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    5. Su, Jianxi & Furman, Edward, 2017. "Multiple risk factor dependence structures: Copulas and related properties," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 109-121.
    6. Kuang-Liang Chang, 2021. "A New Dynamic Mixture Copula Mechanism to Examine the Nonlinear and Asymmetric Tail Dependence Between Stock and Exchange Rate Returns," Computational Economics, Springer;Society for Computational Economics, vol. 58(4), pages 965-999, December.
    7. Ferreiro Javier Ojea, 2019. "Structural change in the link between oil and the European stock market: implications for risk management," Dependence Modeling, De Gruyter, vol. 7(1), pages 53-125, January.
    8. Christis Katsouris, 2021. "Optimal Portfolio Choice and Stock Centrality for Tail Risk Events," Papers 2112.12031, arXiv.org.
    9. Furman, Edward & Kuznetsov, Alexey & Su, Jianxi & Zitikis, Ričardas, 2016. "Tail dependence of the Gaussian copula revisited," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 97-103.
    10. Jianxi Su & Edward Furman, 2016. "Multiple risk factor dependence structures: Copulas and related properties," Papers 1610.02126, arXiv.org.
    11. Durante, Fabrizio & Fernández Sánchez, Juan & Sempi, Carlo, 2013. "Multivariate patchwork copulas: A unified approach with applications to partial comonotonicity," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 897-905.
    12. Chang, Kuang-Liang, 2017. "Does REIT index hedge inflation risk? New evidence from the tail quantile dependences of the Markov-switching GRG copula," The North American Journal of Economics and Finance, Elsevier, vol. 39(C), pages 56-67.
    13. González-Sánchez, Mariano & Nave Pineda, Juan M., 2023. "Where is the distribution tail threshold? A tale on tail and copulas in financial risk measurement," International Review of Financial Analysis, Elsevier, vol. 86(C).
    14. Girard Stéphane, 2018. "Transformation of a copula using the associated co-copula," Dependence Modeling, De Gruyter, vol. 6(1), pages 298-308, December.

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