Results 21 to 30 of about 1,343,672 (294)
Measuring non-exchangeable tail dependence using tail copulas [PDF]
, 2023 Quantifying tail dependence is an important issue in insurance and risk management. The prevalent tail dependence coefficient (TDC), however, is known to underestimate the degree of tail dependence and it does not capture non-exchangeable tail dependence
Kato, S +5 more
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A Note on Tail Dependence Regression
SSRN Electronic Journal, 2013 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Qingzhao Zhang 0002 +2 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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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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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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Modeling spatial tail dependence with Cauchy convolution processes
, 2022 We study the class of dependence models for spatial data obtained from Cauchy convolution processes based on different types of kernel functions. We show that the resulting spatial processes have appealing tail dependence properties, such as tail ...
Huser, Raphaël, Krupskiy, Pavel
core +1 more source
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
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
doaj +1 more source
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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