SVI 403 · Tier 400 — Graduate — Specialization & Capstone · 3 credits
Cross-Asset, Regime & Contagion
Copulas, tail dependence, transfer entropy, volatility spillover and regime detection — how risk travels between assets.
Prerequisites
Learning Objectives
- State Sklar's theorem and explain how a copula separates marginal behavior from the dependence structure that links assets.
- Define lower and upper tail dependence coefficients as conditional-probability limits, and explain why they live in the copula, not in linear correlation.
- Explain transfer entropy as the reduction in uncertainty about an asset's next move once you know another asset's past, beyond what that asset's own past already told you.
- Explain connectedness as the share of an asset's forecast-error variance that is explained by shocks originating in other assets.
- Explain Bayesian Online Changepoint Detection in terms of run-length, the hazard rate, and the posterior over how long the current regime has lasted.