Assessing tail risk for nonlinear dependence of MSCI sector indices: A copula three-stage approach

Abstract : 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.
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https://halshs.archives-ouvertes.fr/halshs-01917629
Contributeur : Dominique Guégan <>
Soumis le : vendredi 9 novembre 2018 - 15:35:22
Dernière modification le : mardi 6 août 2019 - 16:08:04

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Giovanni de Luca, Dominique Guegan, Giorgia Rivieccio. Assessing tail risk for nonlinear dependence of MSCI sector indices: A copula three-stage approach. Finance Research Letters, Elsevier, 2018, ⟨10.1016/j.frl.2018.10.018⟩. ⟨halshs-01917629⟩

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