Yanxi Hou

Georgia Institute of Technology - Mathematics

United States

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Tail Dependence Measure for Examining Financial Extreme Co-Movements

Journal of Econometrics, 2016, 194(2), 330-348
Number of pages: 32 Posted: 09 Jan 2014 Last Revised: 16 Aug 2016
Cass Business School, City, University of London, City University London - Sir John Cass Business School, Georgia Institute of Technology - Mathematics and Georgia State University - Risk Management & Insurance Department
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Citation 5

Abstract:

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Asymptotic dependence and independence; Copula; Extreme co-movement; Kendall's tau; Measure of association.