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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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On Tail Dependence and Multifractality [PDF]
Mathematics, 2020 We study whether, and if yes then how, a varying auto-correlation structure in different parts of distributions is reflected in the multifractal properties of a dynamic process.
Krenar Avdulaj, Ladislav Kristoufek
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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.
Felix Irresberger
exaly +6 more sources
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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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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Nonparametric Estimation of the Tail-Dependence Coefficient
Revstat Statistical Journal, 2013 A common measure of tail dependence is the so-called tail-dependence coefficient. We present a nonparametric estimator of the tail-dependence coefficient and prove its strong consistency and asymptotic normality in the case of known marginal ...
Marta Ferreira
doaj +3 more sources
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
openaire +1 more source
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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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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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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