Results 301 to 310 of about 2,223,882 (330)
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Asymmetry in tail dependence in equity portfolios
Computational Statistics & Data Analysis, 2010zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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, 2019
In this paper, we apply a battery of stochastic copulas to determine the tail distribution and contagion risk-sharing relationship between eight stock markets and gold returns.
Gideon Boako +3 more
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In this paper, we apply a battery of stochastic copulas to determine the tail distribution and contagion risk-sharing relationship between eight stock markets and gold returns.
Gideon Boako +3 more
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Journal of the American Statistical Association, 2017
To disentangle the complex nonstationary dependence structure of precipitation extremes over the entire contiguous United States (U.S.), we propose a flexible local approach based on factor copula models.
Daniela Castro-Camilo, Raphael Huser
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To disentangle the complex nonstationary dependence structure of precipitation extremes over the entire contiguous United States (U.S.), we propose a flexible local approach based on factor copula models.
Daniela Castro-Camilo, Raphael Huser
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Permutation test of tail dependence
Statistical Methods & Applications, 2023Bojan Basrak, Darko Brborović
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The North American journal of economics and finance, 2018
The paper firstly studies the static tail dependence structure between the economic policy uncertainty (EPU) index and several financial markets (Brent Oil, CDS, VIX, SP500 and UK EPU) with Copula models.
Canzhong Yao, B. Sun
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The paper firstly studies the static tail dependence structure between the economic policy uncertainty (EPU) index and several financial markets (Brent Oil, CDS, VIX, SP500 and UK EPU) with Copula models.
Canzhong Yao, B. Sun
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Asymmetric tail dependence between green bonds and other asset classes
, 2021L. Pham, C. Nguyen
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Quantile correlation coefficient: a new tail dependence measure
Statistical Papers, 2018A quantile correlation coefficient is newly defined as the geometric mean of two quantile regression slopes—that of X on Y and that of Y on X—in the same way that the Pearson correlation coefficient is related to regression coefficients.
Ji-Eun Choi, D. Shin
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Estimating Tail Dependence of Elliptical Distributions
2006Recently there has been an increasing interest in applying elliptical distributions to risk management. Under weak conditions, Hult and Lindskog (2002) showed that a random vector with an elliptical distribution is in the domain of attraction of a multivariate extreme value distribution.
Klüppelberg, Claudia +2 more
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Australian Economic Papers, 2018
This study proposes a diversified portfolio construction method based on the tail dependence between the financial assets and adopting both market prior information and the exports’ subject views.
Hao Ji, Hao Wang, B. Liseo
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This study proposes a diversified portfolio construction method based on the tail dependence between the financial assets and adopting both market prior information and the exports’ subject views.
Hao Ji, Hao Wang, B. Liseo
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Uncertainties and green bond markets: Evidence from tail dependence
International Journal of Finance & Economics, 2022Boqiang Lin, Tong-Yaa Su
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