Results 281 to 290 of about 2,223,882 (330)

Energy markets and green bonds: A tail dependence analysis with time-varying optimal copulas and portfolio implications

Resources Policy, 2021
We examine the asymmetric and extreme tail dependence between five energy markets (crude oil, natural gas, heating oil, gasoline, and coal) and green bonds using a time-varying optimal copula (TVOC) model.
Muhammad Abubakr Naeem, Elie Bouri, Mabel D Costa   +2 more
exaly   +2 more sources

Tail-weighted dependence measures with limit being the tail dependence coefficient

Journal of Nonparametric Statistics, 2018
For bivariate continuous data, measures of monotonic dependence are based on the rank transformations of the two variables.
David Lee, Harry Joe, Pavel Krupskii
exaly   +4 more sources

Tail dependence, dynamic linkages, and extreme spillover between the stock and China's commodity markets

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

Spillovers and tail dependence between oil and US sectoral stock markets before and during  COVID-19 pandemic

International Journal of Emerging Markets, 2023
PurposeThis paper examines the extreme dependence and asymmetric risk spillovers between crude oil futures and ten US stock sector indices (consumer discretionary, consumer staples, energy, financials, health care, industrials, information technology ...
Walid Mensi, Waqas Hanif, Elie Bouri, X. Vo   +3 more
semanticscholar   +1 more source

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.
Rafael Schmidt, Ulrich Stadtmüller
exaly   +2 more sources

Tail dependence risk and spillovers between oil and food prices

, 2021
We 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, J. Hernandez, S. Shahzad, Seong‐Min Yoon   +3 more
semanticscholar   +1 more source

Tail dependence between gold and Islamic securities

Finance Research Letters, 2021
We 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

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

Centrality-based measures of financial institutions’ systemic importance: A tail dependence network view

, 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