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Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients
Journal of Multivariate Analysis, 2019zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Pavel Krupskii, Harry Joe
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Characterization of Tail Dependence for In-Degree and PageRank
2009The dependencies between power law parameters such as in-degree and PageRank, can be characterized by the so-called angular measure, a notion used in extreme value theory to describe the dependency between very large values of coordinates of a random vector.
N. Litvak +3 more
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Asymmetry in tail dependence in equity portfolios
Computational Statistics & Data Analysis, 2010zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Tail Dependence of a Pareto Process
2014Heavy-tailed autoregressive processes defined with minimum or maximum operator are good alternatives to classic linear ARMA with heavy tail noises, in what concerns extreme values modeling. In this paper we present a full characterization of the tail dependence of the autoregressive minima process, Yeh-Arnold-Robertson Pareto(III).
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Detection of Dependent Heavy-Tailed Signals
IEEE Transactions on Signal Processing, 2015This paper examines the problem of detection of dependent $\alpha$ -stable signals. Measurements of several phenomena exhibit non-Gaussian, heavy-tailed behavior in their probability density functions (p.d.f.); we use the class of $\alpha$ -stable distributions to characterize these signals.
Arun Subramanian +2 more
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Estimating Tail Dependence of Elliptical Distributions
2006Recently 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 multivariate extreme value distribution.
Klüppelberg, Claudia +2 more
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On tail dependence for Grubbs’ copula-function
Russian Mathematics, 2015zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Tail dependence and heavy tailedness in extreme risks
Insurance: Mathematics and Economics, 2021Ken Seng Tan, Fan Yang
exaly
Nonlinear tail dependence in cryptocurrency-stock market returns: The role of Bitcoin futures
Research in International Business and Finance, 2021Nabila Boukef Jlassi, Ahmed Jeribi
exaly
Tail dependence between bitcoin and green financial assets
Economics Letters, 2021Sitara Karim, Muhammad Abubakr Naeem
exaly