Assessing tail risk for nonlinear dependence of MSCI sector indices: A copula three-stage approach - HAL-SHS - Sciences de l'Homme et de la Société
Article Dans Une Revue Finance Research Letters Année : 2018

Assessing tail risk for nonlinear dependence of MSCI sector indices: A copula three-stage approach

Résumé

The author propose a copula-based three-stage estimation technique in order to describe the serial and cross-sectional nonlinear dependence among financial multiple time series, exploring the existence of tail risk. We find out on MSCI World Sector Indices the higher performance of the approach against the classical Vector AutoRegressive models, giving the implications of misspecified assumptions for margins and/or joint distribution and providing tail dependence measures of financial variables involved in the analysis.
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Dates et versions

halshs-01917629 , version 1 (09-11-2018)

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Citer

Giovanni de Luca, Dominique Guegan, Giorgia Rivieccio. Assessing tail risk for nonlinear dependence of MSCI sector indices: A copula three-stage approach. Finance Research Letters, 2018, ⟨10.1016/j.frl.2018.10.018⟩. ⟨halshs-01917629⟩
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