The aim of this work is to develop a nonparametric tool for detecting dependence in the tails of financial data. We provide a simple method to locate and measure serial dependence in the tails, based on runs tests. Our empirical investigations on many financial time series reveal a strong departure from independence for daily logreturns, which is not filtered out by usual Garch models.
Bellini, F., Figà Talamanca, G. (2004). Detecting and modelling tail dependence. INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 7(3), 269-287 [10.1142/S0219024904002426].
Detecting and modelling tail dependence
BELLINI, FABIO;
2004
Abstract
The aim of this work is to develop a nonparametric tool for detecting dependence in the tails of financial data. We provide a simple method to locate and measure serial dependence in the tails, based on runs tests. Our empirical investigations on many financial time series reveal a strong departure from independence for daily logreturns, which is not filtered out by usual Garch models.
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