Paper Info
Title
Copulas, Tail Dependence and Applications to the Analysis of Financial Time Series
Abstract
Tail dependence is an important property of a joint distribution function that has a huge impact on the determination of risky quantities associated to a stochastic model (Value-at-Risk, for instance). Here we aim at presenting some investigations about tail dependence including the following aspects: the determination of suitable stochastic models to be used in extreme scenarios; the notion of threshold copula, that helps in describing the tail of a joint distribution. Possible applications of the introduced concepts to the analysis of financial time series are presented with particular emphasis on cluster methods and determination of possible contagion effects among markets.
Year
DOI
Venue
2013
10.1007/978-3-642-39165-1_3
AGGREGATION FUNCTIONS IN THEORY AND IN PRACTISE
Field
DocType
Volume
Econometrics,Joint probability distribution,Tail dependence,Copula (linguistics),Stochastic modelling,Finance,Geography,Credit risk
Conference
228
ISSN
Citations 
PageRank 
2194-5357
1
0.36
References 
Authors
11
1
Name
Order
Citations
PageRank
Fabrizio Durante139159.28