MULTIVARIATE TAIL ESTIMATION WITH APPLICATION TO ANALYSIS OF COVAR

Tilo Nguyen and Gennady Samorodnitsky

ASTIN Bulletin, 2013, vol. 43, issue 2, 245-270

Abstract: The quality of estimation of multivariate tails depends significantly on the portion of the sample included in the estimation. A simple approach involving sequential statistical testing is proposed in order to select which observations should be used for estimation of the tail and spectral measures. We prove that the estimator is consistent. We test the proposed method on simulated data, and subsequently apply it to analyze CoVaR for stock and index returns.

Date: 2013
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