DETECTING AND MODELING TAIL DEPENDENCE
2004 ◽
Vol 07
(03)
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pp. 269-287
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Keyword(s):
The aim of this work is to develop a nonparametric tool for detecting dependence in the tails of financial data. We provide a simple method to locate and measure serial dependence in the tails, based on runs tests. Our empirical investigations on many financial time series reveal a strong departure from independence for daily logreturns, which is not filtered out by usual Garch models.
2011 ◽
Vol 5
(4)
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pp. 323-340
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Keyword(s):
Keyword(s):
2010 ◽
Vol 439-440
◽
pp. 683-687
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Keyword(s):
2016 ◽
Vol 20
(2)
◽
pp. 321-354
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Keyword(s):
2014 ◽
Vol 24
(1)
◽
pp. 121-158
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Keyword(s):
Keyword(s):
1995 ◽
Vol 8
(5)
◽
pp. 33-37
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