Results 291 to 300 of about 2,223,882 (330)

Tail dependence between Bitcoin and financial assets: Evidence from a quantile cross-spectral approach

, 2020
Using daily price data for Bitcoin and 10 representative financial assets from the stock, commodity, gold, foreign exchange and bond markets from 2011 to 2019, we study the tail dependence between returns for Bitcoin and these other financial assets ...
A. Maghyereh, Hussein Abdoh
semanticscholar   +1 more source

The simple econometrics of tail dependence

Economics Letters, 2011
The aim of this paper is to show that measures on tail dependence can be estimated in a convenient way by regression analysis. This yields the same estimates as the non-parametric method within the multivariate Extreme Value Theory framework. The advantage of the regression approach is contained by its straightforward extension to the estimation of ...
Maarten R.C. van Oordt, Chen Zhou
openaire   +1 more source

Micro Correlations and Tail Dependence

2010
An elementary though seemingly under-appreciated finding shows that small global correlations are amplified by aggregation.
Cooke, Roger M, Kousky, Carolyn, Joe, Harry   +2 more
openaire   +2 more sources

Tail dependence in the return-volume of leading cryptocurrencies

, 2020
We analyze the average and extreme dependence between returns and trading volumes of three main cryptocurrencies (Bitcoin, Ethereum and Litecoin) via GARCH-copula models.
Muhammad Naeem, Elie Bouri, Gideon Boako, D. Roubaud   +3 more
semanticscholar   +1 more source

A Directory of Coefficients of Tail Dependence

Extremes, 2000
Let \((X,Y)\) be an \(R^2\) random vector with unit Fréchet margins and \[ \Pr\{X>t,Y>t\}\sim L(t)/\Pr\{X>t\}^{1/\eta} \] for large \(t\), \(L(t)\) slowly varying as \(t\to\infty\) and \(\eta\in[0,1]\). Then \(\eta\) is called the coefficient of tail dependence. (The independence of \(X\) and \(Y\) corresponds to \(\eta=1/2\), \(L(t)=1\)).
openaire   +1 more source

Conditional quantiles and tail dependence in the volatilities of gold and silver

The International Economy, 2019
We study the dependency structure between option-implied volatilities of gold and silver markets via the application of a copula-based quantile regression.
Elie Bouri, Naji Jalkh
semanticscholar   +1 more source

Characterization of Tail Dependence for In-Degree and PageRank

2009
The dependencies between power law parameters such as in-degree and PageRank, can be characterized by the so-called angular measure, a notion used in extreme value theory to describe the dependency between very large values of coordinates of a random vector.
N. Litvak, W.R.W. Scheinhardt (Werner), Y. Volkovich, A.P. Zwart (Bert)   +3 more
openaire   +3 more sources

Tail Dependence of a Pareto Process

2014
Heavy-tailed autoregressive processes defined with minimum or maximum operator are good alternatives to classic linear ARMA with heavy tail noises, in what concerns extreme values modeling. In this paper we present a full characterization of the tail dependence of the autoregressive minima process, Yeh-Arnold-Robertson Pareto(III).
openaire   +3 more sources

On tail dependence matrices

Extremes, 2019
Among bivariate tail dependence measures, the tail dependence coefficient has emerged as the popular choice. Akin to the correlation matrix, a multivariate dependence measure is constructed using these bivariate measures, and this is referred to in the ...
N. Shyamalkumar, Siyang Tao
semanticscholar   +1 more source

Detection of Dependent Heavy-Tailed Signals

IEEE Transactions on Signal Processing, 2015
This paper examines the problem of detection of dependent $\alpha$ -stable signals. Measurements of several phenomena exhibit non-Gaussian, heavy-tailed behavior in their probability density functions (p.d.f.); we use the class of $\alpha$ -stable distributions to characterize these signals.
Arun Subramanian, Ashok Sundaresan, Pramod K. Varshney   +2 more
openaire   +1 more source