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2014-09-03Buch DOI: 10.18452/4529
Beyond dimension two
dc.contributor.authorBormann, Carsten
dc.contributor.authorSchienle, Melanie
dc.contributor.authorSchaumburg, Julia
dc.date.accessioned2017-06-16T01:04:23Z
dc.date.available2017-06-16T01:04:23Z
dc.date.created2014-09-12
dc.date.issued2014-09-03
dc.date.submitted2014-09-03
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5181
dc.description.abstractIn 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectdecomposition of tail dependenceeng
dc.subjectmultivariate extreme valueseng
dc.subjectstable tail dependence functioneng
dc.subjectsubsample bootstrapeng
dc.subjecttail correlationeng
dc.subject.ddc310 Statistik
dc.subject.ddc330 Wirtschaft
dc.titleBeyond dimension two
dc.typebook
dc.subtitleA test for higher-order tailrisk
dc.identifier.urnurn:nbn:de:kobv:11-100220202
dc.identifier.doihttp://dx.doi.org/10.18452/4529
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages36
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2014
local.edoc.container-issue42
local.edoc.container-year2014
local.edoc.container-erstkatid2195055-6

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