• 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