Results 271 to 280 of about 2,569,963 (324)
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Non‐parametric Estimation of Tail Dependence
Scandinavian Journal of Statistics, 2006Abstract. 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.
Schmidt, Rafael, Stadtmüller, Ulrich
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Copulas, diagonals, and tail dependence
Fuzzy Sets and Systems, 2015zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Durante, Fabrizio +2 more
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Tail dependence in the return-volume of leading cryptocurrencies
Finance Research Letters, 2020We analyze the average and extreme dependence between returns and trading volumes of three main cryptocurrencies (Bitcoin, Ethereum and Litecoin) via GARCH-copula models.
Muhammad Naeem +3 more
semanticscholar +3 more sources
Tail-weighted dependence measures with limit being the tail dependence coefficient
Journal of Nonparametric Statistics, 2017For bivariate continuous data, measures of monotonic dependence are based on the rank transformations of the two variables.
David Lee, Harry Joe, Pavel Krupskii
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North American Journal of Economics and Finance, 2018
The paper firstly studies the static tail dependence structure between the economic policy uncertainty (EPU) index and several financial markets (Brent Oil, CDS, VIX, SP500 and UK EPU) with Copula models.
Canzhong Yao, B. Sun
semanticscholar +3 more sources
The paper firstly studies the static tail dependence structure between the economic policy uncertainty (EPU) index and several financial markets (Brent Oil, CDS, VIX, SP500 and UK EPU) with Copula models.
Canzhong Yao, B. Sun
semanticscholar +3 more sources
Journal of Commodity Markets, 2023
Cross-market linkage and spillover effects under extreme risk scenarios have recently attracted widespread attention from scholars. However, few studies have focused on tail dependence and extreme spillovers between the stock and the Chinese commodity ...
Suhui Wang
semanticscholar +1 more source
Cross-market linkage and spillover effects under extreme risk scenarios have recently attracted widespread attention from scholars. However, few studies have focused on tail dependence and extreme spillovers between the stock and the Chinese commodity ...
Suhui Wang
semanticscholar +1 more source
Tail dependence risk and spillovers between oil and food prices
, 2021We examine the nonlinear dependence dynamics and downside and upside risk spillovers between oil prices and world food prices captured by a world food price index and its subcategories of dairy, cereals, vegetable oil, and sugar.
Waqas Hanif +3 more
semanticscholar +1 more source
Tail dependence between gold and Islamic securities
Finance Research Letters, 2021We examine the dynamic dependence of extreme returns between gold and Islamic securities under different investment horizons using a novel quantile cross-spectral dependence approach from Barunik and Kley (2019) over the period 2006–2019.
A. Maghyereh, Hussein Abdoh
semanticscholar +1 more source
, 2021
This study measures systemic importance of financial institutions based on network centralities and links them to institutions’ characteristics. We focus on the lower tail dependence networks constructed by combining Clayton copula model and planar ...
Dan Wang, Wei-Qiang Huang
semanticscholar +1 more source
This study measures systemic importance of financial institutions based on network centralities and links them to institutions’ characteristics. We focus on the lower tail dependence networks constructed by combining Clayton copula model and planar ...
Dan Wang, Wei-Qiang Huang
semanticscholar +1 more source