Arbeitspapier
A Test for the Portion of Bivariate Dependence in Multivariate Tail Risk
In practice, multivariate dependencies between extreme risks are often only assessed in a pairwise way. We propose a test to detect when tail dependence is truly high-dimensional and bivariate simplifications would produce misleading results. This occurs when a significant portion of the multivariate dependence structure in the tails is of higher dimension than two. Our test statistic is based on a decomposition of the stable tail dependence function, which is standard in extreme value theory for describing multivariate tail dependence. The asymptotic properties of the test are provided and a bootstrap based finite sample version of the test is suggested. A simulation study documents the good performance of the test for standard sample sizes. In an application to international government bonds, we detect a high tail{risk and low return situation during the last decade which can essentially be attributed to increased higher{order tail risk. We also illustrate the empirical consequences from ignoring higher-dimensional tail risk.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 14-024/III
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Econometric and Statistical Methods: Other
- Thema
-
decomposition of tail dependence
multivariate extreme values
stable tail dependence function
subsample bootstrap
tail correlation
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bormann, Carsten
Schienle, Melanie
Schaumburg, Julia
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bormann, Carsten
- Schienle, Melanie
- Schaumburg, Julia
- Tinbergen Institute
Entstanden
- 2014
Ähnliche Objekte (12)
A note on nonparametric estimation of bivariate tail dependence
On the tail dependence in bivariate hydrological frequency analysis
Copulas, stable tail dependence functions, and multivariate monotonicity
Multivariate extremal density expansions and residual tail dependence structures
VAR for VaR: measuring tail dependence using multivariate regression quantiles
Dependence properties of bivariate copula families
Copulae and tail dependence
Dependence Measures in Bivariate Gamma Frailty Models
Semiparametric bivariate modelling with flexible extremal dependence
Almost opposite regression dependence in bivariate distributions
Tail dependence of perturbed copulas
Structures of multivariate dependence
A note on nonparametric estimation of bivariate tail dependence
On the tail dependence in bivariate hydrological frequency analysis
Copulas, stable tail dependence functions, and multivariate monotonicity
Multivariate extremal density expansions and residual tail dependence structures
VAR for VaR: measuring tail dependence using multivariate regression quantiles
Dependence properties of bivariate copula families
Copulae and tail dependence
Dependence Measures in Bivariate Gamma Frailty Models
Semiparametric bivariate modelling with flexible extremal dependence
Almost opposite regression dependence in bivariate distributions
Tail dependence of perturbed copulas
Structures of multivariate dependence
A note on nonparametric estimation of bivariate tail dependence
On the tail dependence in bivariate hydrological frequency analysis
Copulas, stable tail dependence functions, and multivariate monotonicity
Multivariate extremal density expansions and residual tail dependence structures
VAR for VaR: measuring tail dependence using multivariate regression quantiles
Dependence properties of bivariate copula families
Copulae and tail dependence
Dependence Measures in Bivariate Gamma Frailty Models
Semiparametric bivariate modelling with flexible extremal dependence
Almost opposite regression dependence in bivariate distributions
Tail dependence of perturbed copulas