Results 21 to 30 of about 2,223,882 (330)
Tail-Dependence in Stock-Return Pairs [PDF]
Intelligent Systems in Accounting, Finance and Management, 2002 : The empirical joint distribution of return-pairs on stock indices displays high tail-dependence in the lower tail and low tail-dependence in the upper tail.
Fortin, Ines, Kuzmics, Christoph
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Copulas, stable tail dependence functions, and multivariate monotonicity
Dependence Modeling, 2019 For functions of several variables there exist many notions of monotonicity, three of them being characteristic for resp. distribution, survival and co-survival functions. In each case the “degree” of monotonicity is just the basic one of a whole scale.
Ressel Paul
doaj +2 more sources
Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients
Journal of Multivariate Analysis, 2019 We propose three methods for estimating the joint tail probabilities based on a d -variate copula with dimension d ≥ 2 . For the first two methods, we use two different tail expansions of the copula which are valid under mild regularity conditions.
Pavel Krupskii, H. Joe
semanticscholar +3 more sources
Copulae and tail dependence [PDF]
, 2007 This thesis presents the concept of tail dependence in a financial context as one tool to measure dependence in the extremes of a bivariate distribution.
Großmaß, Till
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A new class of copulas with tail dependence and a generalized tail dependence estimator [PDF]
, 2006 We present a new family of copulas (generalized mean copulas) which is positive comprehensive and allows for upper tail dependence. It includes the Spearman copula and a specific Fréchet copula as special cases.
Fischer, Matthias J., Hinzmann, Gerd
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Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets [PDF]
Journal of international financial markets, institutions, and money, 2023 This paper combines the Copula-CoVaR approach with the ARMA-GARCH-skewed Student-t model to investigate the tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets, taking four main ...
Yun Dai, Peng-Fei Dai, Wei Zhou
semanticscholar +1 more source
Tail dependence between order statistics
Journal of Multivariate Analysis, 2012 In this work, we introduce the s, k-extremal coefficients for studying the tail dependence between the s-th lower and k-th upper order statistics of a normalized random vector. If its margins have tail dependence then so do their order statistics, with
Ferreira, Marta +4 more
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COMET Flows: Towards Generative Modeling of Multivariate Extremes and Tail Dependence [PDF]
International Joint Conference on Artificial Intelligence, 2022 Normalizing flows—a popular class of deep generative models—often fail to represent extreme phenomena observed in real-world processes. In particular, existing normalizing flow architectures struggle to model multivariate extremes, characterized by heavy-
Andrew McDonald +2 more
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Tail dependence functions and vine copulas
Journal of Multivariate Analysis, 2010 Tail dependence and conditional tail dependence functions describe, respectively, the tail probabilities and conditional tail probabilities of a copula at various relative scales.
Joe, Harry +3 more
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Tail-dependence, exceedance sets, and metric embeddings [PDF]
Extremes, 2022 There are many ways of measuring and modeling tail-dependence in random vectors: from the general framework of multivariate regular variation and the flexible class of max-stable vectors down to simple and concise summary measures like the matrix of ...
A. Janssen +2 more
semanticscholar +1 more source