Telling tales from the tails:High-dimensional tail interdependence
| Autor: | Frank Windmeijer, Evarist Stoja, Arnold Polanski |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2019 |
| Předmět: |
Economics and Econometrics
05 social sciences Structure (category theory) High dimensional AF Financial Markets ECON CEPS Data Simple (abstract algebra) 0502 economics and business ECON Econometrics Statistical physics 050207 economics Social Sciences (miscellaneous) Independence (probability theory) 050205 econometrics Statistical hypothesis testing Mathematics |
| Zdroj: | Polanski, A, Stoja, E & Windmeijer, F 2019, ' Telling tales from the tails : High-dimensional tail interdependence ', Journal of Applied Econometrics, vol. 34, no. 5, pp. 779-794 . https://doi.org/10.1002/jae.2708 |
| DOI: | 10.1002/jae.2708 |
| Popis: | We propose a simple and flexible framework that allows for a comprehensive analysis of tail interdependence in high dimensions. We use co-exceedances to capture the structure of the dependence in the tails and, relying on the concept of multi-information, define the coefficient of tail interdependence. Within this framework, we develop statistical tests of (i) independence in the tails, (ii) goodness-of-fit of the tail interdependence structure of a hypothesized model with the one observed in the data, and (iii) dependence symmetry between any two tails. We present an analysis of tail interdependence among 250 constituents of the SP250 index. |
| Databáze: | OpenAIRE |
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