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On the Extreme Value Copula Analysis for Financial Data

Burcu Ucer

Abstract



In this study, the main aim is to analyze the dependence structure of a financial time series which is generally consisting of speculative prices of assets such as stocks or foreign currencies using the extreme value copulas. The attention is put on extreme value copula analysis for financial data. It is possible to analyze extreme values in bivariate or multivariate
case by using the copula approach. We present an inference procedure which is based on the maximum pseudo-likelihood estimate for the copula parameter. Some numerical techniques are used for selecting an appropriate extreme value copula model and for checking its goodness-of-fit. The presented method is illustrated by examples coming from Turkish financial market as a developing market, and also world’s leading financial markets;USA and Germany.

Keywords


extreme value, copulas, cramer-von-mises, financial markets

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