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Discovering Intraday Tail Dependence Patterns via a Full-Range Tail Dependence Copula
Risks, 2023 In this research, we employ a full-range tail dependence copula to capture the intraday dynamic tail dependence patterns of 30 s log returns among stocks in the US market in the year of 2020, when the market experienced a significant sell-off and a rally
Lei Hua
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Likelihood Inference for Factor Copula Models with Asymmetric Tail Dependence [PDF]
EntropyFor multivariate non-Gaussian involving copulas, likelihood inference is dominated by the data in the middle, and fitted models might not be very good for joint tail inference, such as assessing the strength of tail dependence.
Harry Joe, Xiaoting Li
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The tail dependence of the carbon markets: The implication of portfolio management. [PDF]
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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JIn real-world scenarios, we encounter non-exchangeable dependence structures. Our primary focus is on identifying and quantifying non-exchangeability in the tails of joint distributions.
Paramahansa Pramanik
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Tail dependence of perturbed copulas [PDF]
Journal of Statistical Theory and Applications (JSTA), 2016 In this paper, we extend our investigations of a special class of perturbations of copulas introduced in [7]. Despite a surprising fact that this kind of perturbations does not change the value of tail dependence of the original copulas, their use ...
Jozef Komorník +3 more
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Econometric Theory, 2021 This paper shows that if the errors in a multiple regression model are heavy-tailed, the ordinary least squares (OLS) estimators for the regression coefficients are tail-dependent. The tail dependence arises, because the OLS estimators are stochastic linear combinations of heavy-tailed random variables. Moreover, tail dependence also exists between the
Oorschot, Jochem, Zhou, Chen
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ESG, risk, and (tail) dependence [PDF]
International Review of Financial Analysis, 2021 While environmental, social, and governance (ESG) trading activity has been a distinctive feature of financial markets, the debate if ESG scores can also convey information regarding a company's riskiness remains open. Regulatory authorities, such as the European Banking Authority (EBA), have acknowledged that ESG factors can contribute to risk ...
Bax, Karoline +3 more
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Links between US and Turkish agricultural commodity Markets: Nonlinear dependence and tail risk
Borsa Istanbul Review, 2023 In these unprecedented times, marred by the effects of the Covid-19 pandemic, global warming, and the war in Ukraine that began in February 2022, new approaches such as tail dependence have attracted more interest than conventional market dependence ...
Zehra Atik +2 more
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Comparing and quantifying tail dependence
Insurance: Mathematics and Economics, 2022 9 pages, 7 figures, 2 ...
Karl Friedrich Siburg +2 more
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Tail dependence under sample failures [PDF]
Теория вероятностей и ее применения, 2019 При сборе данных иногда встречаются ситуации, препятствующие ему, что приводит к пропускам в данных. Это может оказать влияние на последующие статистические выводы, в особенности, если исследование касается экстремальных значений, информация о которых всегда более скудна.
Ferreira, Marta Susana, Ferreira, H.
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