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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.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
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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