Montag, 23. November 2015, 16:45 - 17:45 iCal

ISOR Colloquium

"TailCoR"

Presentation: David Veredas (Vlerick Business School)

Lecture Room 2 OMP1, Ground floor
Oskar-Morgenstern-Platz 1, 1090 Vienna

Vortrag

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Economic and financial crises are characterized by tail events. When they occur, tail correlations emerge, which have linear and non-linear origins. The former are due to the Pearson correlations, while the strength of the latter depends on the heavyness of the tails. We introduce TailCoR, a new metric for tail correlations that disentangles straightforwardly the linear and non-linear correlations. TailCoR is simple to compute, no optimizations are needed, and it performs well in small samples. When applied to a panel of eight major US banks, TailCoR increases during the financial crisis because of a surge in both the linear and non-linear correlations. The end of 2012 also shows an increase of TailCoR, which is solely driven by the non-linearity, reflecting the risks of tail events and their spillovers associated with the European sovereign debt crisis.

Zur Webseite der Veranstaltung

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Veranstalter

Institut für Statistik und Operations Research

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Kontakt

Mag. Vera Lehmwald
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38651
vera.lehmwald@univie.ac.at

Erstellt am Montag, 28. September 2015, 15:50
Letzte Änderung am Montag, 28. September 2015, 18:58