Modelling extreme-value dependence in international stock markets
Détails
ID Serval
serval:BIB_CB0ADE440A61
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Modelling extreme-value dependence in international stock markets
Périodique
Statistica Sinica
ISSN
1017-0405
Statut éditorial
Publié
Date de publication
10/2003
Peer-reviewed
Oui
Volume
13
Numéro
4
Pages
929-953
Langue
anglais
Résumé
In the finance literature, cross-sectional dependence in extreme returns of risky assets is often modelled implicitly assuming an asymptotically dependent structure. If the true dependence structure is asymptotically independent then current modelling approaches will lead to an over-estimation of the risk of simultaneous extreme events. We use two simple nonparametric measures to identify and quantify the tail dependence among stock returns in five international stock markets. We show that there is strong evidence in favour of asymptotically independent models for the tail structure of stock market returns, and that most of the extremal dependence is due to heteroskedasticity in stock returns processes. Using a range of volatility filters, we find that tail index and tail dependence can be partially captured by models for heteroskedasticity. We find there is no clear reason to prefer one volatility filter over another.
Mots-clé
Asymptotic independence, Extreme value theory, Hill's estimator, Risk management, Tail index
Web of science
Création de la notice
19/11/2007 10:48
Dernière modification de la notice
20/08/2019 15:45