Results 21 to 30 of about 91,197 (260)

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, T. Wahl, M. M. Rashid, P. Camus, I. D. Haigh   +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
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Conditional quantiles and tail dependence

Journal of Multivariate Analysis, 2015
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Carole Bernard, Claudia Czado
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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

AnM-Estimator of Spatial Tail Dependence [PDF]

Journal of the Royal Statistical Society Series B: Statistical Methodology, 2014
SummaryTail dependence models for distributions attracted to a max-stable law are fitted by using observations above a high threshold. To cope with spatial, high dimensional data, a rank-based M-estimator is proposed relying on bivariate margins only. A data-driven weight matrix is used to minimize the asymptotic variance.
Einmahl, J.H.J., Kiriliouk, A., Krajina, A., Segers, J.   +3 more
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The Risk of Individual Stocks’ Tail Dependence with the Market and Its Effect on Stock Returns

Discrete Dynamics in Nature and Society, 2015
Traditional beta is only a linear measure of overall market risk and places equal emphasis on upside and downside risks, but actually the latter is always much stronger probably due to the trading mechanism like short-sale constraints.
Guobin Fan, Eric Girardin, Wong K. Wong, Yong Zeng   +3 more
doaj   +1 more source

Tail order and intermediate tail dependence of multivariate copulas

Journal of Multivariate Analysis, 2011
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lei Hua, Harry Joe
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Strength of tail dependence based on conditional tail expectation

Journal of Multivariate Analysis, 2014
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lei Hua, Harry Joe
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Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions [PDF]

Journal of Applied Probability, 2009
The tail dependence of multivariate distributions is frequently studied via the tool of copulas. In this paper we develop a general method, which is based on multivariate regular variation, to evaluate the tail dependence of heavy-tailed scale mixtures of multivariate distributions, whose copulas are not explicitly accessible.
Li, Haijun, Sun, Yannan
openaire   +2 more sources