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Extreme dependence in the NASDAQ and S&P 500 composite indexes
Applied Financial Economics
Dependence among large observations in equity markets is usually examined using secondmoment models such as those from the GARCH or SV classes. Such models treat the entire set of returns, and tend to produce very similar estimates on the major equity markets, with a sum of estimated GARCH parameters, for example, slightly below one. Using dependence measures from extreme value theory, however, it is possible to characterize dependence among only the largest (or largest negative) financialdoi:10.1080/09603100802360032 fatcat:qpstuyiiyrbl7peihpkxqmmpsq