Economics, Econometrics and Finance
4 years ago

Regression analysis simplifies measuring systemic importance of financial institutions.

Economics Letters
The simple econometrics of tail dependence
Maarten R.C. van Oordt, Chen Zhou

Paper Summary

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The article shows how to estimate tail dependence measures using regression analysis, which is a simpler method than non-parametric techniques. This approach can be extended to estimate higher dimensional tail dependence and is demonstrated with international stock market data. The regression method can also be used to assess the systemic importance of financial institutions.