Results 281 to 290 of about 2,569,963 (324)

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

Tail dependence between Bitcoin and financial assets: Evidence from a quantile cross-spectral approach

, 2020
Using daily price data for Bitcoin and 10 representative financial assets from the stock, commodity, gold, foreign exchange and bond markets from 2011 to 2019, we study the tail dependence between returns for Bitcoin and these other financial assets ...
A. Maghyereh, Hussein Abdoh
semanticscholar   +1 more source

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

Permutation test of tail dependence

Statistical Methods & Applications, 2023
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bojan Basrak, Darko Brborović
openaire   +1 more source

Limiting Tail Dependence Copulas

Communications in Statistics - Theory and Methods, 2009
The limiting lower-tail dependence copula (LLTDC) is defined as the copula of random variables which are right-truncated at thresholds tending to their left endpoints. This article shows LLTDCs are truncation-invariant and belong to the Ahmadi-Clayton family.
openaire   +1 more source

Conditional quantiles and tail dependence in the volatilities of gold and silver

The International Economy, 2019
We study the dependency structure between option-implied volatilities of gold and silver markets via the application of a copula-based quantile regression.
Elie Bouri, Naji Jalkh
semanticscholar   +1 more source

On tail dependence matrices

Extremes, 2019
Among bivariate tail dependence measures, the tail dependence coefficient has emerged as the popular choice. Akin to the correlation matrix, a multivariate dependence measure is constructed using these bivariate measures, and this is referred to in the ...
N. Shyamalkumar, Siyang Tao
semanticscholar   +1 more source

Tail dependence for two skew distributions

Statistics & Probability Letters, 2010
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Fung, Thomas, Seneta, Eugene
openaire   +2 more sources

Analysing dynamic dependence between gold and stock returns: Evidence using stochastic and full-range tail dependence copula models

, 2019
In this paper, we apply a battery of stochastic copulas to determine the tail distribution and contagion risk-sharing relationship between eight stock markets and gold returns.
Gideon Boako, A. Tiwari, Muazu Ibrahim, Qiang Ji   +3 more
semanticscholar   +1 more source

Local Likelihood Estimation of Complex Tail Dependence Structures, Applied to U.S. Precipitation Extremes

Journal of the American Statistical Association, 2017
To disentangle the complex nonstationary dependence structure of precipitation extremes over the entire contiguous United States (U.S.), we propose a flexible local approach based on factor copula models.
Daniela Castro-Camilo, Raphael Huser
semanticscholar   +1 more source