Results 21 to 30 of about 454,765 (293)

A comparison of tail dependence estimators [PDF]

European Journal of Operational Research, 2020
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Supper, H, Irresberger, F, Weiß, G
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General Multivariate Dependence using Associated Copulas

Revstat Statistical Journal, 2016
This paper studies the general multivariate dependence and tail dependence of a random vector. We analyse the dependence of variables going up or down, covering the 2 d orthants of dimension d and accounting for non-positive dependence.
Yuri Salazar Flores
doaj   +1 more source

Tail dependence coefficient of generalized hyperbolic distribution [PDF]

Journal of Statistical Theory and Applications (JSTA), 2017
The tail dependence describes the limiting proportion of exceeding one margin over a certain threshold given that the other margin has already exceeded that threshold.
Mohalilou Aleiyouka, Alexandre Berred, Mohammad Ahsanullah   +2 more
doaj   +1 more source

Operator Tail Dependence of Copulas [PDF]

Methodology and Computing in Applied Probability, 2017
A notion of tail dependence based on operator regular variation is introduced for copulas, and the standard tail dependence used in the copula literature is included as a special case. The non-standard tail dependence with marginal power scaling functions having possibly distinct tail indexes is investigated in detail.
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Methods of Tail Dependence Estimation [PDF]

, 2012
Characterization and quantification of climate extremes and their dependencies are fundamental to the studying of natural hazards. This chapter reviews various parametric and nonparametric tail dependence coefficient estimators.
Aghakouchak, Amir, Sellars, Scott, Sorooshian, Soroosh   +2 more
core   +2 more sources

Extreme return-volume relationship in cryptocurrencies: Tail dependence analysis

Cogent Economics & Finance, 2020
We explore extreme return-volumes dependence among different cryptocurrencies such as Bitcoin, Ethereum, Ripple, and Litecoin by using the Copula approach. We use Student-t, Frank, Clayton, Survival Clayton, Gumbel, and SJC copulas. We filter out margins
Muhammad Naeem, Kashif Saleem, Sheraz Ahmed, Naeem Muhammad, Faisal Mustafa   +4 more
doaj   +1 more source

Analyzing the Causality and Dependence between Exchange Rate and Real Estate Prices in Boom-and-Bust Markets: Quantile Causality and DCC Copula GARCH Approaches

Axioms, 2022
Unlike most previous studies examining the causal relationship and dependence between exchange rates and real estate prices, this study aims to investigate the causal relationship and dependence between these two variables in a boom-and-bust market ...
Woraphon Yamaka, Jianxu Liu, Mingyang Li, Paravee Maneejuk, Hai Q. Dinh   +4 more
doaj   +1 more source

Nonparametric Estimation of the Tail-Dependence Coefficient

Revstat Statistical Journal, 2013
A common measure of tail dependence is the so-called tail-dependence coefficient. We present a nonparametric estimator of the tail-dependence coefficient and prove its strong consistency and asymptotic normality in the case of known marginal ...
Marta Ferreira
doaj   +1 more source

Tail asymptotics for dependent subexponential differences [PDF]

Siberian Mathematical Journal, 2012
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Albrecher, H, Asmussen, Søren, Kortschak, D.   +2 more
openaire   +4 more sources

TAIL DEPENDENCE OF COMMODITY FUTURES RETURNS IN THE AGRICULTURAL AND ENERGY SECTORS [PDF]

Annals of the Polish Association of Agricultural and Agribusiness Economists
The goal of this research was to examine tail dependence structures between selected commodity futures returns. Tail dependence, called also extremal dependence, was evaluated for the pairs of commodities coming from the same sector (energy or ...
Agnieszka Lach
doaj   +1 more source