tdc: Tail Dependence Coefficient

In FRAPO: Financial Risk Modelling and Portfolio Optimisation with R

Description

This function returns the pairwise tail dependence coefficients between N series. The TDCs are estimated non-parametrically by either the empirical tail copula or based on the stable tail-dependence function.

Usage

tdc(x, method = c("EmpTC", "EVT"), lower = TRUE, k = NULL, ...)

Arguments

x	Matrix, or an object that can be coerced to it.
method	Character, the type of non-parametric estimation.
lower	Logical, if TRUE (default), lower TDC are computed and upper TDC, else.
k	Integer, the threshold value for the order statistic. If left NULL, then k = sqrt(nrow(x)) is used.
...	Ellipsis, arguments are passed down to rank.

Details

For a matrix or an object that can be coerced to it with ncol(x) >= 2, the pair wise tail dependencies are estimated non-parametrically and returned as a symmetric matrix. The threshold value k is the upper/lower bound for the order statistics to be considered. The diagonal elements are always equal to one, because a series has a dependence of one with itself, of course.

Value

A matrix with the tail dependent coefficients.

Author(s)

Bernhard Pfaff

References

Schmidt, R. and Stadtm\"uller, U., Nonparametric estimation of tail dependence, The Scandinavian Journal of Statistics, 33, 307–335.

See Also

PMTD

Examples

data(StockIndex)
Rets <- returnseries(StockIndex, method = "discrete", trim = TRUE,
                     percentage = TRUE)
tdc(Rets, method = "EmpTC")
tdc(Rets, method = "EVT")

Example output

Loading required package: cccp
Loading required package: Rglpk
Loading required package: slam
Using the GLPK callable library version 4.52
Loading required package: timeSeries
Loading required package: timeDate
Financial Risk Modelling and Portfolio Optimisation with R (version 0.4-1)

            SP500      N225   FTSE100     CAC40      GDAX       HSI
SP500   1.0000000 0.4666667 0.6666667 0.6666667 0.6666667 0.3333333
N225    0.4666667 1.0000000 0.3333333 0.3333333 0.4000000 0.4000000
FTSE100 0.6666667 0.3333333 1.0000000 0.7333333 0.6000000 0.4666667
CAC40   0.6666667 0.3333333 0.7333333 1.0000000 0.8000000 0.4666667
GDAX    0.6666667 0.4000000 0.6000000 0.8000000 1.0000000 0.4666667
HSI     0.3333333 0.4000000 0.4666667 0.4666667 0.4666667 1.0000000
            SP500      N225   FTSE100     CAC40      GDAX       HSI
SP500   1.0000000 0.4666667 0.6666667 0.6666667 0.6666667 0.3333333
N225    0.4666667 1.0000000 0.3333333 0.3333333 0.4000000 0.4000000
FTSE100 0.6666667 0.3333333 1.0000000 0.7333333 0.6000000 0.4666667
CAC40   0.6666667 0.3333333 0.7333333 1.0000000 0.8000000 0.4666667
GDAX    0.6666667 0.4000000 0.6000000 0.8000000 1.0000000 0.4666667
HSI     0.3333333 0.4000000 0.4666667 0.4666667 0.4666667 1.0000000

FRAPO documentation built on May 2, 2019, 6:33 a.m.