Tail index estimation in the presence of covariates

Detalhes bibliográficos
Autor(a) principal: Nicolau, João
Data de Publicação: 2023
Outros Autores: Rodrigues, Paulo M.M., Stoykov, Marian Z.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/159528
Resumo: Funding Information: The authors thank two anonymous referees, an Associate Editor, and the Co-Editor (Torben Andersen) for their helpful and constructive feedback. Financial support from the Portuguese Foundation for Science and Technology (FCT) through projects CEMAPRE/REM - UIDB/05069/2020 , PTDC/EGE-ECO/28924/2017 , and ( UID/ECO/00124/2013 and Social Sciences DataLab, Project 22209 ), POR Lisboa ( LISBOA-01-0145-FEDER-007722 and Social Sciences DataLab, Project 22209 ) and POR Norte (Social Sciences DataLab, Project 22209 ) is also gratefully acknowledged. Publisher Copyright: © 2023 The Authors
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spelling Tail index estimation in the presence of covariatesStock returns’ tail risk dynamicsCovariates informationExtreme value theoryPareto-type distributionsTail indexEconomics and EconometricsApplied MathematicsFunding Information: The authors thank two anonymous referees, an Associate Editor, and the Co-Editor (Torben Andersen) for their helpful and constructive feedback. Financial support from the Portuguese Foundation for Science and Technology (FCT) through projects CEMAPRE/REM - UIDB/05069/2020 , PTDC/EGE-ECO/28924/2017 , and ( UID/ECO/00124/2013 and Social Sciences DataLab, Project 22209 ), POR Lisboa ( LISBOA-01-0145-FEDER-007722 and Social Sciences DataLab, Project 22209 ) and POR Norte (Social Sciences DataLab, Project 22209 ) is also gratefully acknowledged. Publisher Copyright: © 2023 The AuthorsThis paper provides novel theoretical results for the estimation of the conditional tail index of Pareto and Pareto-type distributions in a time series context. We show that both the estimators and relevant test statistics are normally distributed in the limit, when independent and identically distributed or dependent data are considered. Simulation results provide support for the theoretical findings and highlight the good finite sample properties of the approach in a time series context. The proposed methodology is then used to analyse stock returns’ tail risk dynamics. Two empirical applications are provided. The first consists in testing whether the time-varying tail exponents across firms follow Kelly and Jiang's (2014) assumption of common firm level tail dynamics. The results obtained from our sample seem not to favour this hypothesis. The second application, consists of the evaluation of the impact of two market risk indicators, VIX and Expected Shortfall (ES) and two firm specific covariates, capitalization and market-to-book on stocks tail risk dynamics. Although all variables seem important drivers of firms’ tail risk dynamics, it is found that ES and firms’ capitalization seem to have overall wider impact.NOVA School of Business and Economics (NOVA SBE)RUNNicolau, JoãoRodrigues, Paulo M.M.Stoykov, Marian Z.2023-11-03T22:10:46Z2023-082023-08-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article19application/pdfhttp://hdl.handle.net/10362/159528eng0304-4076PURE: 65185606https://doi.org/10.1016/j.jeconom.2023.04.002info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:41:55Zoai:run.unl.pt:10362/159528Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:57:35.000725Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Tail index estimation in the presence of covariates
Stock returns’ tail risk dynamics
title Tail index estimation in the presence of covariates
spellingShingle Tail index estimation in the presence of covariates
Nicolau, João
Covariates information
Extreme value theory
Pareto-type distributions
Tail index
Economics and Econometrics
Applied Mathematics
title_short Tail index estimation in the presence of covariates
title_full Tail index estimation in the presence of covariates
title_fullStr Tail index estimation in the presence of covariates
title_full_unstemmed Tail index estimation in the presence of covariates
title_sort Tail index estimation in the presence of covariates
author Nicolau, João
author_facet Nicolau, João
Rodrigues, Paulo M.M.
Stoykov, Marian Z.
author_role author
author2 Rodrigues, Paulo M.M.
Stoykov, Marian Z.
author2_role author
author
dc.contributor.none.fl_str_mv NOVA School of Business and Economics (NOVA SBE)
RUN
dc.contributor.author.fl_str_mv Nicolau, João
Rodrigues, Paulo M.M.
Stoykov, Marian Z.
dc.subject.por.fl_str_mv Covariates information
Extreme value theory
Pareto-type distributions
Tail index
Economics and Econometrics
Applied Mathematics
topic Covariates information
Extreme value theory
Pareto-type distributions
Tail index
Economics and Econometrics
Applied Mathematics
description Funding Information: The authors thank two anonymous referees, an Associate Editor, and the Co-Editor (Torben Andersen) for their helpful and constructive feedback. Financial support from the Portuguese Foundation for Science and Technology (FCT) through projects CEMAPRE/REM - UIDB/05069/2020 , PTDC/EGE-ECO/28924/2017 , and ( UID/ECO/00124/2013 and Social Sciences DataLab, Project 22209 ), POR Lisboa ( LISBOA-01-0145-FEDER-007722 and Social Sciences DataLab, Project 22209 ) and POR Norte (Social Sciences DataLab, Project 22209 ) is also gratefully acknowledged. Publisher Copyright: © 2023 The Authors
publishDate 2023
dc.date.none.fl_str_mv 2023-11-03T22:10:46Z
2023-08
2023-08-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/159528
url http://hdl.handle.net/10362/159528
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 0304-4076
PURE: 65185606
https://doi.org/10.1016/j.jeconom.2023.04.002
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 19
application/pdf
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instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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