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Micro Correlations and Tail Dependence
2010An elementary though seemingly under-appreciated finding shows that small global correlations are amplified by aggregation.
Cooke, Roger M +2 more
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Multivariate tail dependence coefficients
2009The aim of this paper is to give a measure of the tail dependence for ndimensional Archimedean copula functions. We propose the upper and lower tail dependence coefficients, in a multivariate framework, extending their bivariate definition given in ...
DE LUCA, GIOVANNI, RIVIECCIO, GIORGIA
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Tail Behaviour and Tail Dependence of Generalized Hyperbolic Distributions
2016Generalized hyperbolic distributions have been well established in finance during the last two decades. However, their application, in particular the computation of distribution functions and quantiles, is numerically demanding. Moreover, they are, in general, not stable under convolution which makes the computation of quantiles in factor models driven
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Correlation, Tail Dependence and Diversification
2013In this contribution we analyze the interplay between correlation, tail dependence and diversification between risks which has a great impact on the calculation of the Solvency Capital Requirement under the Solvency II directive. The analysis shows that the prevailing assumption of an economic relationship between diversification and correlation or ...
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Tail dependence and risk spillover effects between China's carbon market and energy markets
International Review of Economics and Finance, 2023jianing liu, Yuanyuan Man
exaly
Treating Tobacco Dependence in a Medical Setting
Ca-A Cancer Journal for Clinicians, 2009J Taylor Hays, Jon O Ebbert
exaly
Tail dependence structure of the foreign exchange market: A network view
Expert Systems With Applications, 2016Gang-Jin Wang, Chi Xie
exaly