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Empirical Estimation of Tail Dependence Using Copulas: An Application to Asian Markets
Company: Institutions et Dynamiques Historiques de l'Economie
Year Of Publication: 2003
Month Of Publication: April
Pages: 21
Download Count: 601
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 6-10-2006
Publisher: Administrator
Summary
This paper introduces non-parametric estimators for upper and lower tail dependence whose confidence intervals are obtained with a bootstrap method. We call these estimators "Naive Estimators" as they represent a diescretization of Joe's formulae (1997) linking copulas to tail dependence. We apply the methodology to an emprical data set composed of three composite indexes for the three Tigers (Thailand, Malaysia and Indonesia).
Author(s)
Cailault, Cyril Sign in to follow this author
Guegan, Dominique Sign in to follow this author
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