On extremal dependence of block vectors

Helena Ferreira; Marta Ferreira

Kybernetika (2012)

  • Volume: 48, Issue: 5, page 988-1006
  • ISSN: 0023-5954

Abstract

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Due to globalization and relaxed market regulation, we have assisted to an increasing of extremal dependence in international markets. As a consequence, several measures of tail dependence have been stated in literature in recent years, based on multivariate extreme-value theory. In this paper we present a tail dependence function and an extremal coefficient of dependence between two random vectors that extend existing ones. We shall see that in weakening the usual required dependence allows to assess the amount of dependence in d -variate random vectors based on bidimensional techniques. Simple estimators will be stated and can be applied to the well-known stable tail dependence function. Asymptotic normality and strong consistency will be derived too. An application to financial markets will be presented at the end.

How to cite

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Ferreira, Helena, and Ferreira, Marta. "On extremal dependence of block vectors." Kybernetika 48.5 (2012): 988-1006. <http://eudml.org/doc/251425>.

@article{Ferreira2012,
abstract = {Due to globalization and relaxed market regulation, we have assisted to an increasing of extremal dependence in international markets. As a consequence, several measures of tail dependence have been stated in literature in recent years, based on multivariate extreme-value theory. In this paper we present a tail dependence function and an extremal coefficient of dependence between two random vectors that extend existing ones. We shall see that in weakening the usual required dependence allows to assess the amount of dependence in $d$-variate random vectors based on bidimensional techniques. Simple estimators will be stated and can be applied to the well-known stable tail dependence function. Asymptotic normality and strong consistency will be derived too. An application to financial markets will be presented at the end.},
author = {Ferreira, Helena, Ferreira, Marta},
journal = {Kybernetika},
keywords = {multivariate extreme value theory; tail dependence; extremal coefficients; multivariate extreme value theory; tail dependence; extremal coefficients},
language = {eng},
number = {5},
pages = {988-1006},
publisher = {Institute of Information Theory and Automation AS CR},
title = {On extremal dependence of block vectors},
url = {http://eudml.org/doc/251425},
volume = {48},
year = {2012},
}

TY - JOUR
AU - Ferreira, Helena
AU - Ferreira, Marta
TI - On extremal dependence of block vectors
JO - Kybernetika
PY - 2012
PB - Institute of Information Theory and Automation AS CR
VL - 48
IS - 5
SP - 988
EP - 1006
AB - Due to globalization and relaxed market regulation, we have assisted to an increasing of extremal dependence in international markets. As a consequence, several measures of tail dependence have been stated in literature in recent years, based on multivariate extreme-value theory. In this paper we present a tail dependence function and an extremal coefficient of dependence between two random vectors that extend existing ones. We shall see that in weakening the usual required dependence allows to assess the amount of dependence in $d$-variate random vectors based on bidimensional techniques. Simple estimators will be stated and can be applied to the well-known stable tail dependence function. Asymptotic normality and strong consistency will be derived too. An application to financial markets will be presented at the end.
LA - eng
KW - multivariate extreme value theory; tail dependence; extremal coefficients; multivariate extreme value theory; tail dependence; extremal coefficients
UR - http://eudml.org/doc/251425
ER -

References

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