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http://hdl.handle.net/10419/23565
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| Title: | | A simple graphical method to explore tail-dependence in stock-return pairs  |
| Authors: | | Abberger, Klaus |
| Issue Date: | | 2004 |
| Series/Report no.: | | Discussion paper series / Universität Konstanz, Center of Finance and Econometrics (CoFE) 04/03 |
| Abstract: | | 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. |
| Subjects: | | Association bivariate distribution chi-plot copula correlation local dependence tail-dependence |
| Document Type: | | Working Paper |
| Appears in Collections: | | CoFE-Diskussionspapiere, Universität Konstanz
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