Results 21 to 30 of about 1,282,215 (298)
PATHS AND INDICES OF MAXIMAL TAIL DEPENDENCE [PDF]
ASTIN Bulletin, 2014 AbstractWe demonstrate both analytically and numerically that the existing methods for measuring tail dependence in copulas may sometimes underestimate the extent of extreme co-movements of dependent risks and, therefore, may not always comply with the new paradigm of prudent risk management.
Edward Furman +2 more
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Risks, 2020 This paper examines the joint movement and tail dependence structure between the pair of foreign exchange rates (EUR, USD and GBP) against the GHS, using daily exchange rates data expressed in GHS per unit of foreign currencies (EUR, USD and GBP) between
Prince Osei Mensah, Anokye M. Adam
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 +2 more
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Auto-tail dependence coefficients for stationary solutions of linear stochastic recurrence equations and for GARCH(1,1) [PDF]
, 2010 We examine the auto-dependence structure of strictly stationary solutions of linear stochastic recurrence equations and of strictly stationary GARCH(1, 1) processes from the point of view of ordinary and generalized tail dependence coefficients.
Raymond Brummelhuis +1 more
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Asymmetric tail dependence modeling, with application to cryptocurrency market data
, 2022 Since the inception of Bitcoin in 2008, cryptocurrencies have played an increasing role in the world of e-commerce, but the recent turbulence in the cryptocurrency market in 2018 has raised some concerns about their stabil-ity and associated risks.
Huser, Raphaël +3 more
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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 +4 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.
openaire +3 more sources
Threshold copulas and positive dependence [PDF]
, 2008 Starting with a notion of positive dependence View the MathML source and with the family of the lower threshold copulas Ct associated with a bivariate distribution having copula C, we define different notions of positive dependence for C, reflecting the ...
Fabio Spizzichino +5 more
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Correlation analysis of financial assets based on asymmetric copula
Frontiers in Applied Mathematics and Statistics, 2022 Based on the asymmetric copula function, this paper analyzes the static and dynamic correlation between Shanghai Composite Index and Shenzhen Composite Index.
Xia Li, Bing Hou
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Assessing the dependence structure between oceanographic, fluvial, and pluvial flooding drivers along the United States coastline [PDF]
Hydrology and Earth System Sciences, 2021 Flooding is of particular concern in low-lying coastal zones that are prone to flooding impacts from multiple drivers, such as oceanographic (storm surge and wave), fluvial (excessive river discharge), and/or pluvial (surface runoff).
A. A. Nasr +4 more
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