The simple econometrics of tail dependence

Maarten van Oordt and Chen Zhou ()

Economics Letters, 2012, vol. 116, issue 3, 371-373

Abstract: 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.

Keywords: Tail dependence; Regression analysis; Extreme Value Theory (search for similar items in EconPapers)
JEL-codes: C14 C58 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:116:y:2012:i:3:p:371-373

DOI: 10.1016/j.econlet.2012.04.016

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