The Effect of Dependence on European Market Risk. A Nonparametric Time Varying Approach
依赖关系对欧洲市场风险的影响：非参数时变方法
Multivariate dependence measures are crucial for risk management, where variables usually have heavy tails and non-Gaussian distributions. We propose a multivariate time varying Kendall’s tau estimator in a nonparametric context, allowing for local stationary variables. Consistency and asymptotic normality of the estimator are provided. A simulation study is conducted which supports the idea of better performance than other related methods in many complex scenarios. The…