A simple graphical method to explore tail-dependence in stock-return pairs

@inproceedings{Abberger2004ASG,
  title={A simple graphical method to explore tail-dependence in stock-return pairs},
  author={Klaus Abberger},
  year={2004}
}
For a bivariate data set the dependence structure can not only be measured globally, for example with the Bravais-Pearson correlation coefficient, but the dependence structure can also be analyzed locally. In this article the exploration of dependencies in the tails of the bivariate distribution is discussed. For this a graphical method which is called chi-plot and which was introduced by Fisher and Switzer (1985, 2001) is used. Examples with simulated data sets illustrate that the chi-plot is… CONTINUE READING

References

Publications referenced by this paper.
Showing 1-6 of 6 references

Graphical assessment of dependence : is a picture worth 100 tests ?

  • I. FisherN., P Switzer
  • The American Statistician
  • 2001

Chi - plots for assessing dependence

  • I. FisherN., P Switzer
  • Biometrika
  • 1985

Dependence function for bivariate continuous densities

  • W. HollanderP., J. WangY.
  • Communications in Statistics , Theory and Methods

Similar Papers

Loading similar papers…