Tail dependence measure for examining financial extreme co-movements
用于分析金融极端共同变动的尾部依赖度量
Modeling and forecasting extreme co-movements in financial market is important for conducting stress test in risk management. Asymptotic independence and asymptotic dependence behave drastically different in modeling such co-movements. For example, the impact of extreme events is usually overestimated whenever asymptotic dependence is wrongly assumed. On the other hand, the impact is seriously underestimated whenever the data is misspecified as asymptotic independent.…