New Extreme-Value Dependance Measures and Finance Applications
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Other versions of this item:
- POON, Ser-Huang & ROCKINGER, Michael & TAWN, Jonathan, 2001. "New Extreme-Value Dependance Measures and Finance Applications," HEC Research Papers Series 719, HEC Paris.
- Rockinger, Michael & Poon, Ser-Huang & Tawn, Jonathan, 2001. "New Extreme-Value Dependence Measures and Finance Applications," CEPR Discussion Papers 2762, C.E.P.R. Discussion Papers.
References listed on IDEAS
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Citations
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Cited by:
- Viviana Fernández, 2003. "Extreme Value Theory: Value at Risk and Returns Dependence Around the World," Documentos de Trabajo 161, Centro de Economía Aplicada, Universidad de Chile.
- Geluk, J.L. & De Vries, C.G., 2006.
"Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities,"
Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 39-56, February.
- J.L. Geluk & C.G. de Vries, 2004. "Weighted Sums of Subexponential Random Variables and Asymptotic Dependence between Returns on Reinsurance Equities," Tinbergen Institute Discussion Papers 04-102/2, Tinbergen Institute.
- Geluk, J.L. & de Vries, C.G., 2004. "Weighted sums of subexponential random variables and asymptotic dependence between returns on reinsurance equities," Econometric Institute Research Papers EI 2004-47, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Viviana Fernandez, 2004. "Extremal Dependence In Exchange Rate Markets," Econometric Society 2004 Latin American Meetings 13, Econometric Society.
- Hartmann, Philipp & Straetmans, Stefan & de Vries, Casper, 2004.
"Fundamentals and joint currency crises,"
Working Paper Series
324, European Central Bank.
- de Vries, Casper & Hartmann, Philipp & Straetmans, Stefan, 2004. "Fundamentals and Joint Currency Crises," CEPR Discussion Papers 4338, C.E.P.R. Discussion Papers.
- K. Minderhoud, 2006. "Systemic Risk in the Dutch Financial Sector," De Economist, Springer, vol. 154(2), pages 177-195, June.
- Jonathan B. Hill, 2004. "Gaussian Tests of "Extremal White Noise" for Dependent, Heterogeneous, Heavy Tailed Time Series with an Application," Econometrics 0411014, University Library of Munich, Germany, revised 04 Nov 2005.
- Sebastian Schich, 2004. "European stock market dependencies when price changes are unusually large," Applied Financial Economics, Taylor & Francis Journals, vol. 14(3), pages 165-177.
- Fukuhara, Masahiro & Saruwatari, Yasufumi, 2003. "An Analysis of Contagion in Emerging Currency Markets Using Multivariate Extreme Value Theory," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 21(2), pages 113-131, August.
- David Laibson & Andrea Repetto & Jeremy Tobacman, 2003. "Wealth Accumulation, Credit Card Borrowing, and Consuption-Income Comovement," Documentos de Trabajo 166, Centro de Economía Aplicada, Universidad de Chile.
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More about this item
Keywords
Asymptotic independence; Extreme value theory; Hill's estimator; Tail index;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
Statistics
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