Chaudhuri, K orcid.org/0000-0002-7492-1369, Sen, R and Tan, Z (2018) Testing extreme dependence in financial time series. Economic Modelling, 73. pp. 378-394. ISSN 0264-9993
Abstract
Financial interdependence indicates a process through which transmission of shock originating in the financial market of one economy spreads to others. This paper provides a new idea of Residual and Recurrence Times of high or low values for bivariate time series to detect extreme dependence or contagion. In presence of financial extreme dependence, the distributions of residual and recurrence times are not the same. We examine the equality of two distributions using the permutation test. In comparison to other methods in multivariate extreme value theory, our proposed method does not need the i.i.d. assumption. Our method can handle the situation where the extremes for different components do not occur at the same time. We justify our methods in two ways: first using thorough simulation studies and then applying the proposed method to real data on weekly stock indices from sixteen markets.
Metadata
Item Type: | Article |
---|---|
Authors/Creators: |
|
Copyright, Publisher and Additional Information: | (c) 2018 Elsevier B.V. All rights reserved. This is an author produced version of a paper published in Economic Modelling. Uploaded in accordance with the publisher's self-archiving policy |
Keywords: | Financial dependence;; Residual and recurrence times; GARCH |
Dates: |
|
Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Business (Leeds) > Economics Division (LUBS) (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 14 May 2018 08:51 |
Last Modified: | 30 May 2019 00:45 |
Status: | Published |
Publisher: | Elsevier |
Identification Number: | 10.1016/j.econmod.2018.04.016 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:130601 |