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- W3122649660 abstract "Extremal dependence between international stock markets is of particular interest in today's global financial landscape. However, previous studies have shown this dependence is not necessarily stationary over time. We concern ourselves with modeling extreme value dependence when that dependence is changing over time, or other suitable covariate. Working within a framework of asymptotic dependence, we introduce a regression model for the angular density of a bivariate extreme value distribution that allows us to assess how extremal dependence evolves over a covariate. We apply the proposed model to assess the dynamics governing extremal dependence of some leading European stock markets over the last three decades, and find evidence of an increase in extremal dependence over recent years." @default.
- W3122649660 created "2021-02-01" @default.
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- W3122649660 date "2017-09-01" @default.
- W3122649660 modified "2023-09-27" @default.
- W3122649660 title "Time-Varying Extreme Value Dependence with Application to Leading European Stock Markets" @default.
- W3122649660 hasPublicationYear "2017" @default.
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