Assessing tail risk for nonlinear dependence of MSCI sector indices: A copula three-stage approach

Giovanni De Luca, Dominique Guégan and Giorgia Rivieccio

Finance Research Letters, 2019, vol. 30, issue C, 327-333

Abstract: The author propose a copula-based three-stage estimation technique in order to describe the serial and cross-sectional nonlinear dependence among financial multiple time series, exploring the existence of tail risk. We find out on MSCI World Sector Indices the higher performance of the approach against the classical Vector AutoRegressive models, giving the implications of misspecified assumptions for margins and/or joint distribution and providing tail dependence measures of financial variables involved in the analysis.

Keywords: Copula function; Three stage estimator; Multiple time series; Tail dependence (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:30:y:2019:i:c:p:327-333

DOI: 10.1016/j.frl.2018.10.018

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