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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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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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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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Comparing and quantifying tail dependence [PDF]
Insurance: Mathematics and Economics, 2022 9 pages, 7 figures, 2 ...
Karl Friedrich Siburg +2 more
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Measuring non-exchangeable tail dependence using tail copulas [PDF]
ASTIN Bulletin, 2023 AbstractQuantifying tail dependence is an important issue in insurance and risk management. The prevalent tail dependence coefficient (TDC), however, is known to underestimate the degree of tail dependence and it does not capture non-exchangeable tail dependence since it evaluates the limiting tail probability only along the main diagonal.
Takaaki Koike, Shogo Kato, Marius Hofert
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The tail dependence structure between investor sentiment and commodity markets. [PDF]
Resour Policy, 2020 A growing body of literature considers investor sentiment as the partial driver of change in commodity prices. In contrast with previous studies that have almost exclusively focused on linear relationship, this empirical paper investigates the entire ...
Maghyereh A, Abdoh H.
europepmc +2 more sources
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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A comparison of tail dependence estimators [PDF]
European Journal of Operational Research, 2020 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Supper, H, Irresberger, F, Weiß, G
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Energies, 2021 This study investigates the dependence between extreme returns of West Texas Intermediate (WTI) crude oil prices and the Crude Oil Volatility Index (OVX) changes as well as the predictive power of OVX to generate accurate Value at Risk (VaR) forecasts ...
Krzysztof Echaust, Małgorzata Just
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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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