Results 1 to 10 of about 2,223,882 (330)
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
doaj +4 more sources
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
doaj +3 more sources
A comparison of tail dependence estimators [PDF]
European Journal of Operational Research, 2020 We review several commonly used methods for estimating the tail dependence in a given data sample. In simulations, we show that especially static estimators produce severely biased estimates of tail dependence when applied to samples with time-varying ...
Felix Irresberger, Gregor Weiss
exaly +7 more sources
Copulas, diagonals, and tail dependence
Fuzzy Sets and Systems, 2015 We present some known and novel aspects about bivariate copulas with prescribed diagonal section by highlighting their use in the description of the tail dependence.
Fabrizio Durante +2 more
exaly +6 more sources
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
K. Bax +3 more
semanticscholar +4 more sources
Comparing and Quantifying Tail Dependence [PDF]
Insurance: Mathematics and Economics, 2022 We introduce a new stochastic order for the tail dependence between random variables. We then study different measures of tail dependence which are monotone in the proposed order, thereby extending various known tail dependence coefficients from the ...
K. Siburg +2 more
semanticscholar +4 more sources
Modeling spatial tail dependence with Cauchy convolution processes [PDF]
Electronic Journal of Statistics, 2022 We study the class of dependence models for spatial data obtained from Cauchy convolution processes based on different types of kernel functions. We show that the resulting spatial processes have appealing tail dependence properties, such as tail ...
Huser, Raphaël, Krupskiy, Pavel
core +2 more sources
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
doaj +4 more sources
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
Tail dependence between bitcoin and green financial assets
Economics Letters, 2021 The high power consumption of Bitcoin transactions has raised environmental and sustainable concerns of green investors and regulatory bodies. We utilize the time-varying optimal copula (TVOC) approach to showcase the dependence structure between bitcoin
Muhammad Abubakr Naeem, Sitara Karim
exaly +2 more sources