Results 11 to 20 of about 2,223,882 (330)
Asymmetric tail dependence modeling, with application to cryptocurrency market data [PDF]
Annals of Applied Statistics, 2022 Since the inception of Bitcoin in 2008, cryptocurrencies have played an increasing role in the world of e-commerce, but the recent turbulence in the cryptocurrency market in 2018 has raised some concerns about their stabil-ity and associated risks.
Huser, Raphaël +3 more
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Measuring non-exchangeable tail dependence using tail copulas [PDF]
ASTIN Bulletin: The Journal of the International Actuarial Association, 2023 Quantifying tail dependence is an important issue in insurance and risk management. The prevalent tail dependence coefficient (TDC), however, is known to underestimate the degree of tail dependence and it does not capture non-exchangeable tail dependence
Hofert, Marius +2 more
core +3 more sources
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
doaj +2 more sources
Nonlinear tail dependence in cryptocurrency-stock market returns: The role of Bitcoin futures
Research in International Business and Finance, 2021 We investigate the median and tail dependence between cryptocurrency and stock market returns of BRICS and Developed countries using a newly developed nonparametric cumulative measure of dependence over the period January 4, 2016 – December 31, 2019 as ...
Amine Lahiani +2 more
exaly +2 more sources
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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Energies, 2021 This study investigates the dependence between extreme returns of West Texas Intermediate (WTI) crude oil prices and the Crude Oil Volatility Index (OVX) changes as well as the predictive power of OVX to generate accurate Value at Risk (VaR) forecasts ...
Krzysztof Echaust, Małgorzata Just
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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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Extreme return-volume relationship in cryptocurrencies: Tail dependence analysis
Cogent Economics & Finance, 2020 We explore extreme return-volumes dependence among different cryptocurrencies such as Bitcoin, Ethereum, Ripple, and Litecoin by using the Copula approach. We use Student-t, Frank, Clayton, Survival Clayton, Gumbel, and SJC copulas. We filter out margins
Muhammad Naeem +4 more
doaj +2 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.
Zhou, Chen, Oorschot, Jochem
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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