We propose a strategy for selecting and analyzing a set of financial assets, focusing attention on their lower tail dependence structure. The selection is made through an algorithmic procedure based on data mining tools and keeping as a basis an asset of major interest with the aim, in a financial crisi perspective, to minimiza the association among extremely low values of the assets. Using copula functions, the tail dependence structure is evaluated in a bivariate as well as in a multivariate context.
Archimedean Copulae and Market Risk in Financial Crisi Perspective
DE LUCA, GIOVANNI;RIVIECCIO, GIORGIA;
2009-01-01
Abstract
We propose a strategy for selecting and analyzing a set of financial assets, focusing attention on their lower tail dependence structure. The selection is made through an algorithmic procedure based on data mining tools and keeping as a basis an asset of major interest with the aim, in a financial crisi perspective, to minimiza the association among extremely low values of the assets. Using copula functions, the tail dependence structure is evaluated in a bivariate as well as in a multivariate context.File in questo prodotto:
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