Empirical Estimation of Tail Dependence Using Copulas. Application to Asian Markets

Cyril Caillault and Dominique Guegan ()
Additional contact information
Cyril Caillault: IDHE - Institutions et Dynamiques Historiques de l'Economie - ENS Cachan - École normale supérieure - Cachan - UP1 - Université Paris 1 Panthéon-Sorbonne - UP8 - Université Paris 8 Vincennes-Saint-Denis - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique
Dominique Guegan: IDHE - Institutions et Dynamiques Historiques de l'Economie - ENS Cachan - École normale supérieure - Cachan - UP1 - Université Paris 1 Panthéon-Sorbonne - UP8 - Université Paris 8 Vincennes-Saint-Denis - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

Abstract: This paper introduces non-parametric estimators for upper and lower tail dependence whose confidence intervals are obtained with a bootstrap method. We call these estimators "Naïve estimators" as they represent a discretization of Joe's formulae (1997)\nocite{Joe} linking copulas to tail dependence. We apply the methodology to an empirical data set composed of three composite indexes for the three Tigers (Thailand, Malaysia and Indonesia). The extremes show a dependence structure which is symmetric for the Thai and Malaysian markets and asymmetric for the Thai and Indonesian markets and for the Malaysian and the Indonesian markets. Using these results we estimate the copula (which belongs to the Student or Archimedean copula families) for each pair of markets by two methods. Finally, we provide risk measurements using the best copula associated to each pair of markets.

Keywords: Tail dependence; Non-parametric Estimation; Semi-parametric estimation; Bootstrap; Risk's measure.; Risk's measure (search for similar items in EconPapers)
Date: 2005
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00180865
References: Add references at CitEc
Citations: View citations in EconPapers (18)

Published in Quantitative Finance, 2005, 5, pp.489 - 501

Downloads: (external link)
https://shs.hal.science/halshs-00180865/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00180865

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().