Results 11 to 20 of about 91,197 (260)
Comparing and quantifying tail dependence
Insurance: Mathematics and Economics, 2022 9 pages, 7 figures, 2 ...
Karl Friedrich Siburg +2 more
openaire +3 more sources
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
openaire +4 more sources
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
doaj +1 more source
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
openaire +1 more source
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
doaj +1 more source
Risks, 2020 This paper examines the joint movement and tail dependence structure between the pair of foreign exchange rates (EUR, USD and GBP) against the GHS, using daily exchange rates data expressed in GHS per unit of foreign currencies (EUR, USD and GBP) between
Prince Osei Mensah, Anokye M. Adam
doaj +1 more source
Tail dependence coefficient of generalized hyperbolic distribution [PDF]
Journal of Statistical Theory and Applications (JSTA), 2017 The tail dependence describes the limiting proportion of exceeding one margin over a certain threshold given that the other margin has already exceeded that threshold.
Mohalilou Aleiyouka +2 more
doaj +1 more source
Operator Tail Dependence of Copulas [PDF]
Methodology and Computing in Applied Probability, 2017 A notion of tail dependence based on operator regular variation is introduced for copulas, and the standard tail dependence used in the copula literature is included as a special case. The non-standard tail dependence with marginal power scaling functions having possibly distinct tail indexes is investigated in detail.
openaire +3 more sources
PATHS AND INDICES OF MAXIMAL TAIL DEPENDENCE [PDF]
ASTIN Bulletin, 2014 AbstractWe demonstrate both analytically and numerically that the existing methods for measuring tail dependence in copulas may sometimes underestimate the extent of extreme co-movements of dependent risks and, therefore, may not always comply with the new paradigm of prudent risk management.
Edward Furman +2 more
openaire +4 more sources
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 +1 more source