Results 11 to 20 of about 1,343,672 (294)
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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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
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Tail‐dependence in stock‐return pairs [PDF]
Intelligent Systems in Accounting, Finance and Management, 2002 AbstractThe 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. The presence of asymmetric tail‐dependence is not compatible with the assumption of a
Ines Fortin, Christoph Kuzmics
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Tail dependence functions and vine copulas
Journal of Multivariate Analysis, 2010 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Harry Joe +2 more
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ANALYSIS OF TAIL DEPENDENCE STRUCTURE IN GLOBAL FINANCIAL MARKETS [PDF]
Quantitative Methods in Economics, 2014 The identification of tail (in)dependencies has drawn major attention in empirical financial studies. We concern on the structure of dependence which refers to dependence as symmetric or asymmetric, tail_x0002_dependent or tail-independent.
Grażyna Trzpiot, Justyna Majewska
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An M-Estimator of Multivariate Tail Dependence [PDF]
, 2010 Extreme value theory is the part of probability and statistics that provides the theoretical background for modeling eventsthat almost never happen. The estimation of the dependence between two or more such unlikely events (tail dependence) is the topic of this thesis.
Krajina, A.
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Tail dependence between order statistics
Journal of Multivariate Analysis, 2012 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Helena Ferreira, Marta Ferreira
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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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A new class of copulas with tail dependence and a generalized tail dependence estimator [PDF]
, 2006 We present a new family of copulas (generalized mean copulas) which is positive comprehensive and allows for upper tail dependence. It includes the Spearman copula and a specific Fréchet copula as special cases. Some properties and a generalized tail dependence estimator are derived. Finally, a small simulation study is conducted.
Fischer, Matthias J., Hinzmann, Gerd
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Comparing and quantifying tail dependence
Insurance: Mathematics and Economics, 2022 9 pages, 7 figures, 2 ...
Karl Friedrich Siburg +2 more
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