Utilize este identificador para referenciar este registo: http://hdl.handle.net/1822/18974

TítuloFragility index of block tailed vectors
Autor(es)Ferreira, Helena
Ferreira, Marta Susana
Palavras-chaveMultivariate extreme value theory
Tail dependence
Fragility index
Extremal coefficients
RevistaJournal of Statistical Planning and Inference
Resumo(s)Financial crises are a recurrent phenomenon with important effects on the real economy. The financial system is inherently fragile and it is therefore of great importance to be able to measure and characterize its systemic stability. Multivariate extreme value theory provide us such a framework through the fragility index (Geluk et al., 2007; Falk and Tichy, to appear-a, to appear-b). Here we generalize this concept and contribute to the modeling of the stability of a stochastic system divided into blocks. We will find several relations with well-known tail dependence measures in the literature, which will provide us immediate estimators. We end with an application to financial data.
Versão da editorahttp://www.sciencedirect.com/science/article/pii/S0378375812000444
Arbitragem científicayes
Aparece nas coleções:CMAT - Artigos com arbitragem/Papers with refereeing

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