A simple graphical method to explore tail-dependence in stock-return pairs


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ABBERGER, Klaus, 2004. A simple graphical method to explore tail-dependence in stock-return pairs

@techreport{Abberger2004simpl-12174, series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie}, title={A simple graphical method to explore tail-dependence in stock-return pairs}, year={2004}, number={2004/03}, author={Abberger, Klaus} }

<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:dcterms="http://purl.org/dc/terms/" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/12174"> <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/12174"/> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:43:13Z</dcterms:available> <dcterms:rights rdf:resource="http://nbn-resolving.org/urn:nbn:de:bsz:352-20140905103416863-3868037-7"/> <dcterms:title>A simple graphical method to explore tail-dependence in stock-return pairs</dcterms:title> <dc:contributor>Abberger, Klaus</dc:contributor> <dcterms:abstract xml:lang="eng">For a bivariate data set the dependence structure can not only be measured globally, for example with the Bravais-Pearson correlation coefficient, but the dependence structure can also be analyzed locally. In this article the exploration of dependencies in the tails of the bivariate distribution is discussed. For this a graphical method which is called chi-plot and which was introduced by Fisher and Switzer (1985, 2001) is used. Examples with simulated data sets illustrate that the chi-plot is suitable for the exploration of dependencies. This graphical method is then used to examine stock-return pairs. The kind of tail-dependence between returns has consequences, for example, for the calculation of the Value at Risk and should be modelled carefully. The application of the chi-plot to various daily stock-return pairs shows that different dependence structures can be found. This graph can therefore be an interesting aid for the modelling of returns.</dcterms:abstract> <dc:language>eng</dc:language> <dc:creator>Abberger, Klaus</dc:creator> <dc:rights>deposit-license</dc:rights> <dcterms:issued>2004</dcterms:issued> <dc:format>application/pdf</dc:format> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-25T09:43:13Z</dc:date> </rdf:Description> </rdf:RDF>

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