Results 131 to 140 of about 88,133 (162)

Tail-dependence in stock-return pairs [PDF]

, 2002
The empirical joint distribution of return-pairs on stock indices displays high tail-dependence in the lower tail and low tail-dependence in the upper tail. The presence of tail-dependence is not compatible with the assumption of (conditional) joint normality.
Fortin, Ines, Kuzmics, Christoph
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Tail dependence and skew distributions

Quantitative Finance, 2011
Luciano and Schoutens (2006) successfully implemented the multivariate skew Variance Gamma (VG) distribution to fit to a set of basic derivatives.
Thomas Fung, Eugene Seneta
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Mesomorphism dependence on tail group

Molecular Crystals and Liquid Crystals, 2016
ABSTRACTA chalconyl homologous novel series of thermotropic liquid crystals (LC) have been synthesized and studied with a view to understand and establish the effects of molecular structure on LC properties in thermotropic behaviors. Homologous series RO-C6H4-COO-C6H4-CO-CH=CH-C6H4-OC14H29 consists of 13 homologs (C1–C18), C1–C6 homologs are nonliquid ...
B. B. Jain, R. B. Patel
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Portfolio management with tail dependence

Applied Economics, 2018
ABSTRACTMany publications, that treated with Portfolio Management, were devastating for all asset allocation models in the context of portfolios.
Daniel Reed Bergmann, Jose Roberto Ferreira Savoia, Claudio Felisoni de Angelo, Eduardo Augusto do Rosário Contani, Fabiana Lopes da Silva   +4 more
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Tail Dependence of a Pareto Process

2014
Heavy-tailed autoregressive processes defined with minimum or maximum operator are good alternatives to classic linear ARMA with heavy tail noises, in what concerns extreme values modeling. In this paper we present a full characterization of the tail dependence of the autoregressive minima process, Yeh-Arnold-Robertson Pareto(III).
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Tail-weighted measures of dependence

Journal of Applied Statistics, 2014
Multivariate copula models are commonly used in place of Gaussian dependence models when plots of the data suggest tail dependence and tail asymmetry. In these cases, it is useful to have simple statistics to summarize the strength of dependence in different joint tails.
Pavel Krupskii, Harry Joe
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Micro Correlations and Tail Dependence

2010
An elementary though seemingly under-appreciated finding shows that small global correlations are amplified by aggregation.
Cooke, Roger M, Kousky, Carolyn, Joe, Harry   +2 more
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Multivariate tail dependence coefficients

2009
The aim of this paper is to give a measure of the tail dependence for ndimensional Archimedean copula functions. We propose the upper and lower tail dependence coefficients, in a multivariate framework, extending their bivariate definition given in ...
DE LUCA, GIOVANNI, RIVIECCIO, GIORGIA
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Some Positive Dependence Orderings involving Tail Dependence [PDF]

, 2006
In this paper we discuss the properties of the orderings of positive dependence introduced by Hollander et al. (1990) as generalizing the bivariate positive dependence concepts of left-tail decreasing (LTD) and right-tail increasing (RTI) studied by Esary and Proschan (1972).
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Tail Behaviour and Tail Dependence of Generalized Hyperbolic Distributions

2016
Generalized hyperbolic distributions have been well established in finance during the last two decades. However, their application, in particular the computation of distribution functions and quantiles, is numerically demanding. Moreover, they are, in general, not stable under convolution which makes the computation of quantiles in factor models driven
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