Results 11 to 20 of about 1,865,927 (246)
Auto-dependence structure of arch-models: tail dependence coefficients [PDF]
, 2006 We study autodependence in ARCH-models by computing the auto-lower tail dependence coefficients and certain generalizations thereof, for both stationary and non-stationary time series.
Brummelhuis, R.
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Auto-tail dependence coefficients for stationary solutions of linear stochastic recurrence equations and for GARCH(1,1) [PDF]
, 2010 We examine the auto-dependence structure of strictly stationary solutions of linear stochastic recurrence equations and of strictly stationary GARCH(1, 1) processes from the point of view of ordinary and generalized tail dependence coefficients.
Raymond Brummelhuis +1 more
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General Multivariate Dependence using Associated Copulas
Revstat Statistical Journal, 2016 This paper studies the general multivariate dependence and tail dependence of a random vector. We analyse the dependence of variables going up or down, covering the 2 d orthants of dimension d and accounting for non-positive dependence.
Yuri Salazar Flores
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TAIL DEPENDENCE OF COMMODITY FUTURES RETURNS IN THE AGRICULTURAL AND ENERGY SECTORS [PDF]
Annals of the Polish Association of Agricultural and Agribusiness EconomistsThe goal of this research was to examine tail dependence structures between selected commodity futures returns. Tail dependence, called also extremal dependence, was evaluated for the pairs of commodities coming from the same sector (energy or ...
Agnieszka Lach
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The tail dependence of the carbon markets: The implication of portfolio management.
PLoS ONE, 2020 Emission trading scheme (ETS), the most popular market-based instrument, is widely used to solve carbon emission problems in the world. With the development of carbon market, carbon asset has been a popular financial product to invest and the risk ...
Fang Zhang, Zhengjun Zhang
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Dissecting the Multivariate Extremal Index and Tail Dependence
Revstat Statistical Journal, 2020 A central issue in the theory of extreme values focuses on suitable conditions such that the well[1]known results for the limiting distributions of the maximum of i.i.d. sequences can be applied to stationary ones.
Helena Ferreira , Marta Ferreira
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TailCoR and tail dependence coefficients.
, 2023 Panel (a) shows the evolution of TailCoR for all pairs of market indexes, while panels (b) and (c) show the non-parametric and parametric tail dependence coefficients.
Christophe Ley (8102315) +3 more
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Spatial Tail Dependence and Survival Stability in a Class of Archimedean Copulas
International Journal of Mathematics and Mathematical Sciences, 2016 This paper investigates properties of extensions of tail dependence of Archimax copulas to high dimensional analysis in a spatialized framework. Specifically, we propose a characterization of bivariate margins of spatial Archimax processes while spatial ...
Diakarya Barro +2 more
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Behaviour of multivariate tail dependence coefficients [PDF]
, 2019 In applications tail dependence is an important property of a copula. Bivariate tail dependence is investigated in many papers, but multivariate tail dependence has not been studied widely.
Zariņa, Ilze +2 more
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A directory of coefficients of tail dependence.
, 2000 Models characterizing the asymptotic dependence structures of bivariate distributions have been introduced by Ledford and Tawn (1996), among others, and diagnostics for such dependence behavior are presented in Coles et al. (1999).
Heffernan, Janet E.
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