Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk
衡量资产市场联系：非线性依赖与尾部风险
Traditional measures of dependence in time series are based on correlations or periodograms. These are adequate in many circumstances but, in others, especially when trying to assess market linkages and tail risk during abnormal times (e.g., financial contagion), they might be inappropriate. In particular, popular tail dependence measures based on exceedance correlations and marginal expected shortfall (MES) have large variances and also contain limited information on tail…