The simple econometrics of tail dependence

C-Tier
Journal: Economics Letters
Year: 2012
Volume: 116
Issue: 3
Pages: 371-373

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:116:y:2012:i:3:p:371-373
Journal Field
General
Author Count
2
Added to Database
2026-01-26