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Abstract Details
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Activity Number:
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514
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Type:
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Contributed
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Date/Time:
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Wednesday, August 1, 2012 : 10:30 AM to 12:20 PM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #305050 |
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Title:
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Are the Tails Different from the Body? An International Approach to Stock Returns' Tail Dependence
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Author(s):
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Jose Faias*+
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Companies:
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Catolica Lisbon SBE
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Address:
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Palma De Cima, Lisbon, _, 1649-023, Portugal
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Keywords:
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Asymptotic independence ;
International financial markets ;
Comovement ;
Multivariate Extremes
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Abstract:
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The recent financial crisis has highlighted the importance of measuring correctly extreme dependence. This article presents an analysis of extreme dependence in the tails for equity markets in the G-7 countries, using Extreme Value Theory. Different asymptotic dependence structures were found in the studied sample. Unlike previous studies, sector indices were also included in the analysis. This fact will allow for intra-sector and intra-country study, in which higher extreme dependence was found. Also, two different data frequencies are compared, in order to evaluate the impact of heteroskedasticity on stock returns.
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The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.
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