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Copulas, diagonals, and tail dependence

Fuzzy Sets and Systems, 2015
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Juan Fernandez-Sanchez, Fabrizio Durante
exaly   +6 more sources

A comparison of tail dependence estimators [PDF]

European Journal of Operational Research, 2020
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Gregor Weis, Felix Irresberger
exaly   +7 more sources

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Non-parametric Estimation of Tail Dependence

Scandinavian Journal of Statistics, 2006
Abstract.  Dependencies between extreme events (extremal dependencies) are attracting an increasing attention in modern risk management. In practice, the concept of tail dependence represents the current standard to describe the amount of extremal dependence.
Ulrich Stadtmüller, Rafael Schmidt
exaly   +2 more sources

DETECTING AND MODELING TAIL DEPENDENCE

International Journal of Theoretical and Applied Finance, 2004
The aim of this work is to develop a nonparametric tool for detecting dependence in the tails of financial data. We provide a simple method to locate and measure serial dependence in the tails, based on runs tests. Our empirical investigations on many financial time series reveal a strong departure from independence for daily logreturns, which is not ...
Bellini F., FIGA' TALAMANCA, GIANNA
openaire   +3 more sources

The simple econometrics of tail dependence

Economics Letters, 2011
The aim of this paper is to show that measures on tail dependence can be estimated in a convenient way by regression analysis. This yields the same estimates as the non-parametric method within the multivariate Extreme Value Theory framework. The advantage of the regression approach is contained by its straightforward extension to the estimation of ...
Maarten R.C. van Oordt, Chen Zhou
openaire   +1 more source

Micro Correlations and Tail Dependence

2010
An elementary though seemingly under-appreciated finding shows that small global correlations are amplified by aggregation.
Cooke, Roger M, Kousky, Carolyn, Joe, Harry   +2 more
openaire   +2 more sources

A Directory of Coefficients of Tail Dependence

Extremes, 2000
Let \((X,Y)\) be an \(R^2\) random vector with unit Fréchet margins and \[ \Pr\{X>t,Y>t\}\sim L(t)/\Pr\{X>t\}^{1/\eta} \] for large \(t\), \(L(t)\) slowly varying as \(t\to\infty\) and \(\eta\in[0,1]\). Then \(\eta\) is called the coefficient of tail dependence. (The independence of \(X\) and \(Y\) corresponds to \(\eta=1/2\), \(L(t)=1\)).
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Tail-weighted dependence measures with limit being the tail dependence coefficient

Journal of Nonparametric Statistics, 2017
For bivariate continuous data, measures of monotonic dependence are based on the rank transformations of the two variables.
David Lee, Harry Joe, Pavel Krupskii
openaire   +2 more sources

Tail dependence for elliptically contoured distributions

Mathematical Methods of Operations Research, 2002
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Rafael Schmidt
exaly   +3 more sources