Results 11 to 20 of about 2,569,963 (324)

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
M. Naeem, Sitara Karim
semanticscholar   +3 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, A. Jeribi, Nabila Boukef Jlassi   +2 more
semanticscholar   +3 more sources

Likelihood Inference for Factor Copula Models with Asymmetric Tail Dependence [PDF]

Entropy
For 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
doaj   +2 more sources

Distorted Copulas: Constructions and Tail Dependence [PDF]

Communications in Statistics - Theory and Methods, 2010
Given a copula C, we examine under which conditions on an order isomorphism ψ of [0, 1] the distortion C ψ: [0, 1]2 → [0, 1], C ψ(x, y) = ψ{C[ψ−1(x), ψ−1(y)]} is again a copula.
Avérous J., Bassan B., Chan W., Charpentier A., Denneberg D., Durante F., Fabrizio Durante, Frees E. W., Hardy G. H., Joe H., Klement E. P., Klement E. P., Lai C.-D., Marshall A. W., McNeil A. J., Müller A., Nelsen R. B., Peter Sarkoci, Rachele Foschi, Salvadori G., Schweizer B.   +20 more
core   +4 more sources

An M-estimator of spatial tail dependence [PDF]

Journal of the Royal Statistical Society Series B: Statistical Methodology, 2014
Tail dependence models for distributions attracted to a max-stable law are fitted using observations above a high threshold. To cope with spatial, high-dimensional data, a rank-based M-estimator is proposed relying on bivariate margins only.
Einmahl, John, Kiriliouk, Anna, Krajina, Andrea, Segers, Johan   +3 more
core   +11 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, Magda Komorníková, Jana Kalická, Cuong Nguyen   +3 more
doaj   +4 more sources

Lower Tail Dependence for Archimedean Copulas: Characterizations and Pitfalls [PDF]

SSRN Electronic Journal, 2006
Tail dependence copulas provide a natural perspective from which one can study the dependence in the tail of a multivariate distribution.For Archimedean copulas with continuously differentiable generators, regular variation of the generator near the ...
Charpentier, A., Segers, J.J.J.
core   +8 more sources

Estimating Tail Dependence of Elliptical Distributions [PDF]

, 2005
Recently there has been an increasing interest in applying elliptical distributions to risk management. Under weak conditions, Hult and Lindskog (2002) showed that a random vector with an elliptical distribution is in the domain of attraction of a ...
Klüppelberg, Claudia, Kuhn, Gabriel, Peng, Liang   +2 more
core   +5 more sources

Copulas, stable tail dependence functions, and multivariate monotonicity

Dependence Modeling, 2019
For functions of several variables there exist many notions of monotonicity, three of them being characteristic for resp. distribution, survival and co-survival functions. In each case the “degree” of monotonicity is just the basic one of a whole scale.
Ressel Paul
doaj   +2 more sources

Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets [PDF]

Journal of international financial markets, institutions, and money, 2023
This paper combines the Copula-CoVaR approach with the ARMA-GARCH-skewed Student-t model to investigate the tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets, taking four main ...
Yun Dai, Peng-Fei Dai, Wei Zhou
semanticscholar   +1 more source