| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2793 |
| DP2793 Insurance Within the Firm | |
| Luigi Guiso; Luigi Pistaferri; Fabiano Schivardi | |
| 发表日期 | 2001-05-29 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | In the finance literature, cross-sectional dependence in extreme returns of risky assets is often modelled implicitly assuming an asymptotically dependent structure. If the true dependence structure is asymptotically independent then existing finance models will lead to over-estimation of the risk of simultaneous extreme events. We provide simple techniques for deciding between these dependence classes and for quantifying the degree of dependence in each class. Examples based on daily stock market returns show that there is strong evidence in favour of asymptotically independent models for dependence in extremal stock market returns, and that most of the extremal dependence is due to heteroskedasticity in stock returns processes. |
| 主题 | Financial Economics |
| 关键词 | Asymptotic independence Extreme value theory Hill's estimator Tail index |
| URL | https://cepr.org/publications/dp2793 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531852 |
| 推荐引用方式 GB/T 7714 | Luigi Guiso,Luigi Pistaferri,Fabiano Schivardi. DP2793 Insurance Within the Firm. 2001. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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