DETECTING AND MODELING TAIL DEPENDENCE-Reference-Cited by-同舟云学术

DETECTING AND MODELING TAIL DEPENDENCE

Published:2004-05 Issue:03 Volume:07 Page:269-287
ISSN:0219-0249
Container-title:International Journal of Theoretical and Applied Finance
language:en
Short-container-title:Int. J. Theor. Appl. Finan.

Author:

BELLINI FABIO¹,FIGÀ-TALAMANCA GIANNA²

Affiliation:

1. Dipartimento di Metodi Quantitativi per le Scienze Economiche ed Aziendali, University of Milan-Bicocca, Piazza Ateneo Nuovo, 1 Milan, 20126, Italy

2. Dipartimento di Organizzazione Aziendale ed Amministrazione Pubblica, University of Calabria, Ponte Bucci, Cubo 3B, Arcavacata di Rende, 87036, Italy

Abstract

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.

Publisher

World Scientific Pub Co Pte Lt

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0219024904002426

Reference14 articles.

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