DocumentCode
2111434
Title
Measures of Conditional Tail-Dependence Risk with Copulas
Author
Wen-de Yi ; Ai-hua Huang
Author_Institution
Dept. of Math & Comput. Sci., Chongqing Univ. of Arts & Sci. Yongchuan, Chongqing
Volume
1
fYear
2008
fDate
20-22 Dec. 2008
Firstpage
384
Lastpage
388
Abstract
With the incorporation and globalization of financial market, the dependence relation between financial time series is strengthening, especially when the extreme events occur, the dependence effect is more obvious. Itpsilas very interesting to investigate the dependence structure and measures of tail part of time series. In this paper, some dependence probabilities and conditional tail-dependence risk measures are proposed to study the tail dependence risk of time series.
Keywords
financial management; risk management; time series; conditional tail-dependence risk measures; copulas; dependence probability; financial market; financial time series; Conditional tail-dependence; Copula; Expected shortfall; Risk measure;
fLanguage
English
Publisher
ieee
Conference_Titel
Information Science and Engineering, 2008. ISISE '08. International Symposium on
Conference_Location
Shanghai
Print_ISBN
978-1-4244-2727-4
Type
conf
DOI
10.1109/ISISE.2008.291
Filename
4732241
Link To Document