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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2022.11
- 수록면
- 65 - 70 (6page)
이용수
초록· 키워드
오류제보하기
In finance, random quantities such as returns frequently exhibit asymmetry in their tail behavior. The tail behavior is described using an elliptical distribution owing to its heaviness. Moreover, elliptical distributions constitute a parametric model class of multivariate regular variations, and the scale matrix is important in determining the tail dependence. For testing the asymmetry of the tail dependence, we propose a likelihood ratio test that checks the homogeneity of the scale matrix in separate regions. Moreover, the proposed test is applied to a real dataset to investigate the asymmetry of tail dependence.
목차
ABSTRACT
1. Introduction
2. Main Methods
3. Simulation Study
4. Real Data Analysis
5. Conclusions
References
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