Extreme risk interdependence

Polanski, Arnold ORCID: https://orcid.org/0000-0001-9146-6364 and Stoja, Evarist (2016) Extreme risk interdependence.

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We define tail interdependence as a situation where extreme outcomes for some variables are informative about such outcomes for other variables. We extend the concept of multiinformation to quantify tail interdependence, decompose it into systemic and residual interdependence and measure the contribution of a constituent to the interdependence of a system. Further, we devise statistical procedures to test: a) tail independence, b) whether an empirical interdependence structure is generated by a theoretical model and c) symmetry of the interdependence structure in the tails. We outline some additional extensions and illustrate this framework by applying it to several datasets.

Item Type: Article
Uncontrolled Keywords: co-exceedance,kullback-leibler divergence,multi-information,relative entropy,risk contribution,risk interdependence
Faculty \ School: Faculty of Social Sciences > School of Economics
UEA Research Groups: Faculty of Social Sciences > Research Groups > Economic Theory
Faculty of Social Sciences > Research Groups > Applied Econometrics And Finance
Related URLs:
Depositing User: Pure Connector
Date Deposited: 09 Jun 2016 11:00
Last Modified: 29 Jan 2023 06:30
URI: https://ueaeprints.uea.ac.uk/id/eprint/59277
DOI: 10.2849/75773

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