Telling Tales from the Tails: High-Dimensional Tail Interdependence

44 Pages Posted: 30 Apr 2019

See all articles by Arnold Polanski

Arnold Polanski

University of East Anglia

Evarist Stoja

University of Bristol

Frank Windmeijer

University of Bristol - Department of Economics; University of Bristol - Leverhulme Centre for Market and Public Organisation (CMPO); Institute for Fiscal Studies (IFS) - Centre for Microdata Methods and Practice

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Date Written: June 12, 2018

Abstract

We propose a simple and flexible framework that allows for a comprehensive analysis of tail interdependence in high dimensions. We use co-exceedances to capture the structure of the dependence in the tails and, relying on the concept of multi-information, define the coefficient of tail interdependence. Within this framework, we develop statistical tests of (i) independence in the tails, (ii) goodness-of-fit of the tail interdependence structure of a hypothesized model with the one observed in the data, and (iii) dependence symmetry between any two tails. We present an analysis of tail interdependence among 250 constituents of the SP250 index.

Suggested Citation

Polanski, Arnold and Stoja, Evarist and Windmeijer, Frank, Telling Tales from the Tails: High-Dimensional Tail Interdependence (June 12, 2018). Available at SSRN: https://ssrn.com/abstract=3377404 or http://dx.doi.org/10.2139/ssrn.3377404

Arnold Polanski

University of East Anglia ( email )

Norwich, Norfolk NR4 7TJ
United Kingdom
44 (0)1603 59 7166 (Phone)

HOME PAGE: http://https://www.uea.ac.uk/eco/people/All+People/Academic/Arnold+Polanski

Evarist Stoja (Contact Author)

University of Bristol ( email )

School of Accounting and Finance
8 Woodland Road
Bristol, BS8 1TN
United Kingdom

HOME PAGE: http://sites.google.com/view/evarist-stoja/

Frank Windmeijer

University of Bristol - Department of Economics ( email )

8 Woodland Road
Bristol BS8 ITN
United Kingdom

University of Bristol - Leverhulme Centre for Market and Public Organisation (CMPO) ( email )

12 Priory Road
Bristol BS8 1TN
United Kingdom

Institute for Fiscal Studies (IFS) - Centre for Microdata Methods and Practice

7 Ridgmount Street
London WC1E 7AE, WC1E 7 AE
United Kingdom

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