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


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


Veranstalter

Institut für Statistik und Operations Research


Kontakt

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