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| 01790nam 2200313za 4500 |
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| 001 | 9.817271 |
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| 003 | CaOODSP |
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| 005 | 20221107142436 |
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| 007 | cr ||||||||||| |
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| 008 | 160510s2016 oncd ob f000 0 eng d |
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| 040 | |aCaOODSP|beng |
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| 041 | |aeng|bfre |
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| 043 | |an-cn--- |
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| 086 | 1 |aFB3-5/2016-22E-PDF |
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| 100 | 1 |aVan Oordt, Maarten R. C. |
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| 245 | 10|aEstimating systematic risk under extremely adverse market conditions |h[electronic resource] / |cby Maarten R.C. van Oordt and Chen Zhou. |
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| 260 | |a[Ottawa] : |bBank of Canada, |c2016. |
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| 300 | |aiii, 41 p. |
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| 490 | 1 |aStaff Working Paper, |x1701-9397 ; |v2016-22 |
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| 500 | |a"May 2016." |
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| 504 | |aIncludes bibliographical references (p. 34-37). |
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| 520 | 3 |aThis paper considers the problem of estimating a linear model between two heavy-tailed variables if the explanatory variable has an extremely low (or high) value. We propose an estimator for the model coefficient by exploiting the tail dependence between the two variables and prove its asymptotic properties. Simulations show that our estimation method yields a lower mean squared error than regressions conditional on tail observations. In an empirical application we illustrate the better performance of our approach relative to the conditional regression approach in projecting the losses of industry-specific stock portfolios in the event of a market crash. |
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| 692 | 07|2gccst|aMarkets |
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| 692 | 07|2gccst|aFinancial crisis |
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| 692 | 07|2gccst|aStatistical analysis |
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| 700 | 1 |aZhou, Chen. |
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| 710 | 2 |aBank of Canada. |
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| 830 | #0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2016-22|w(CaOODSP)9.806221 |
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| 856 | 40|qPDF|s496 KB|uhttps://publications.gc.ca/collections/collection_2016/banque-bank-canada/FB3-5-2016-22-eng.pdf |
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