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題 名 | Modelling Extreme-Value Dependence in International Stock Markets |
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作 者 | Poon,Ser-huang; Rockinger,Michael; Tawn,Jonathan; | 書刊名 | Statistica Sinica |
卷 期 | 13:4 2003.10[民92.10] |
頁 次 | 頁929-953 |
分類號 | 319 |
關鍵詞 | Asymptotic independence; Extreme value theory; Hill's estimator; Risk management; Tail index; |
語 文 | 英文(English) |
英文摘要 | 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 simul-taneous 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. |
本系統中英文摘要資訊取自各篇刊載內容。