Tail dependence of bivariate skew normal triangular array with varying correlation coefficients
Statistical Theory and Related FieldsThe tail dependence coefficient measures extremal dependence between two random variables. In this note, we investigate the tail dependence of a bivariate skew normal triangular array with equal skewness and varying correlation coefficients [Formula: see
Shuang Hu, Zuoxiang Peng, Qian Xiong
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Mobilisation of friction in unstationary flows down a model topography [PDF]
EPJ Web of Conferences, 2021 The frictional behaviour of a series of numerical 2D granular mass flows down a model topography is analysed. Effective friction coefficients estimated from final deposits are compared with data from documented natural geophysical flows, and show a ...
Blachier Baptiste, Staron Lydie
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A Mixture of Clayton, Gumbel, and Frank Copulas: A Complete Dependence Model
Journal of Probability and Statistics, 2022 Knowledge of the dependence between random variables is necessary in the area of risk assessment and evaluation. Some of the existing Archimedean copulas, namely the Clayton and the Gumbel copulas, allow for higher correlations on the extreme left and ...
M. A. Boateng +3 more
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Plug-in Estimation of Dependence Characteristics of Archimedean Copula via Bézier Curve
Revstat Statistical Journal, 2023 This article introduces measurement of the dependence between variables with a dependence structure defined by Archimedean copulas. The estimation of the dependence measure, such as Kendall’s tau as well as the lower and upper tail dependence, is ...
Selim Orhun Susam +1 more
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Volatility Modeling and Dependence Structure of ESG and Conventional Investments
Risks, 2022 The question of whether environmental, social, and governance investments outperform or underperform other conventional financial investments has been debated in the literature.
Joanna Górka, Katarzyna Kuziak
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Stable tail dependence functions – some basic properties
Dependence Modeling, 2022 We prove some important properties of the extremal coefficients of a stable tail dependence function (“STDF”) and characterise logistic and some related STDFs.
Ressel Paul
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Quantifying systemic risk in Morocco’s banking system using Euler indicators and extreme dependence
Cogent Business & Management, 2023 This article contributes to the quantification of systemic risk within the Moroccan banking system, focusing on listed banks. We utilize indicators derived from Tail Value at Risk and expectiles risk measures, as introduced by El qalli and Said (2013 ...
Khalil Said +2 more
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On Construction of Bernstein-Bézier Type Bivariate Archimedean Copula
Revstat Statistical Journal, 2022 In this paper, a new class of bivariate multi-parameter Archimedean copula based on Kendall distribution using Bernstein-Bézier polynomials is introduced. The new class copula has flexible dependence properties depending on the polynomial degree and the
Selim Orhun Susam , Burcu Hudaverdi
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Extreme return-volume relationship in cryptocurrencies: Tail dependence analysis
Cogent Economics & Finance, 2020 We explore extreme return-volumes dependence among different cryptocurrencies such as Bitcoin, Ethereum, Ripple, and Litecoin by using the Copula approach. We use Student-t, Frank, Clayton, Survival Clayton, Gumbel, and SJC copulas. We filter out margins
Muhammad Naeem +4 more
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A copula-based approach to investigate vertical shock price transmission in the italian hog market
New Medit, 2021 It is a stylized fact that the Italian farmers do not benefit of casual structure along value chain. Conversely, retailers could advantage of any positive shock price changes occurred in the wholesale supply chain.
Fabian Capitanio +3 more
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