Results 11 to 20 of about 1,282,215 (298)
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 between order statistics [PDF]
Journal of Multivariate Analysis, 2012 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Helena Ferreira, Marta Ferreira
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Tail dependence functions and vine copulas [PDF]
Journal of Multivariate Analysis, 2010 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Harry Joe +2 more
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Copulae and tail dependence [PDF]
, 2007 This thesis presents the concept of tail dependence in a financial context as one tool to measure dependence in the extremes of a bivariate distribution. Copulae can separate the problem of estimating a multidimensional distribution into the estimation of the marginal distributions and the dependence between the onedimensional random variables ...
Großmaß, Till
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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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Measuring non-exchangeable tail dependence using tail copulas [PDF]
, 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
Kato, S +5 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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A Note on Tail Dependence Regression
SSRN Electronic Journal, 2013 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Qingzhao Zhang 0002 +2 more
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Modeling spatial tail dependence with Cauchy convolution processes
, 2022 We study the class of dependence models for spatial data obtained from Cauchy convolution processes based on different types of kernel functions. We show that the resulting spatial processes have appealing tail dependence properties, such as tail ...
Huser, Raphaël, Krupskiy, Pavel
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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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