Assessing tail risk for nonlinear dependence of MSCI sector indices: A copula three-stage approach
Dominique Guegan
- Fonction : Auteur
- PersonId : 18037
- IdHAL : dominique-guegan
- ORCID : 0000-0003-4214-1429
- IdRef : 026905809
Résumé
The author propose a copula-based three-stage estimation technique in order to describe the serial and cross-sectional nonlinear dependence among financial multiple time series, exploring the existence of tail risk. We find out on MSCI World Sector Indices the higher performance of the approach against the classical Vector AutoRegressive models, giving the implications of misspecified assumptions for margins and/or joint distribution and providing tail dependence measures of financial variables involved in the analysis.
Domaines
Economies et financesFormat du dépôt | Notice |
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Type de dépôt | Article dans une revue |
Titre |
en
Assessing tail risk for nonlinear dependence of MSCI sector indices: A copula three-stage approach
|
Résumé |
en
The author propose a copula-based three-stage estimation technique in order to describe the serial and cross-sectional nonlinear dependence among financial multiple time series, exploring the existence of tail risk. We find out on MSCI World Sector Indices the higher performance of the approach against the classical Vector AutoRegressive models, giving the implications of misspecified assumptions for margins and/or joint distribution and providing tail dependence measures of financial variables involved in the analysis.
|
Auteur(s) |
Giovanni de Luca
1
, Dominique Guegan
2, 3, 4, 5
, Giorgia Rivieccio
1
1
Parthenope University
( 479769 )
- via Generale Parisi 38,
800122 Naples
- Italie
2
UP1 -
Université Paris 1 Panthéon-Sorbonne
( 7550 )
- 12 place du Panthéon, 75231 Paris Cedex 05
- France
3
CES -
Centre d'économie de la Sorbonne
( 15080 )
- Maison des Sciences Économiques - 106-112 Boulevard de l'Hôpital - 75647 Paris Cedex 13
- France
4
Labex ReFi
( 472714 )
- France
5
University of Ca’ Foscari [Venice, Italy]
( 461222 )
- Dorsoduro, 3246, 30123 Venice, Italy
Universita di Venezia - Ca' Foscari
- Italie
|
Date de publication |
2018-10
|
Date de publication électronique |
2018-10-24
|
Nom de la revue |
|
Vulgarisation |
Non
|
Audience |
Internationale
|
Comité de lecture |
Oui
|
Langue du document |
Anglais
|
Mots-clés (JEL) |
|
Domaine(s) |
|
Mots-clés |
en
Tail dependence, Multiple time series, Copula function, Three stage estimator
|
DOI | 10.1016/j.frl.2018.10.018 |
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