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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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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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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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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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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
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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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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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Stable tail dependence functions – some basic properties
Dependence Modeling, 2022 We prove some important properties of the extremal coefficients of a stable tail dependence function (“STDF”) and characterise logistic and some related STDFs.
Ressel Paul
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Risks, 2020 This paper examines the joint movement and tail dependence structure between the pair of foreign exchange rates (EUR, USD and GBP) against the GHS, using daily exchange rates data expressed in GHS per unit of foreign currencies (EUR, USD and GBP) between
Prince Osei Mensah, Anokye M. Adam
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Tail dependence coefficient of generalized hyperbolic distribution [PDF]
Journal of Statistical Theory and Applications (JSTA), 2017 The tail dependence describes the limiting proportion of exceeding one margin over a certain threshold given that the other margin has already exceeded that threshold.
Mohalilou Aleiyouka +2 more
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