Results 31 to 40 of about 2,188,856 (302)
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
Tail dependence coefficient of generalized hyperbolic distribution [PDF]
Journal of Statistical Theory and Applications (JSTA), 2017 The tail dependence describes the limiting proportion of exceeding one margin over a certain threshold given that the other margin has already exceeded that threshold.
Mohalilou Aleiyouka +2 more
doaj +1 more source
Distorted Copulas: Constructions and Tail Dependence [PDF]
Communications in Statistics - Theory and Methods, 2010 Given a copula C, we examine under which conditions on an order isomorphism ψ of [0, 1] the distortion C ψ: [0, 1]2 → [0, 1], C ψ(x, y) = ψ{C[ψ−1(x), ψ−1(y)]} is again a copula. In particular, when the copula C is totally positive of order 2, we give a sufficient condition on ψ that ensures that any distortion of C by means of ψ is again a copula.
Durante F, Foschi R, Sarkoci P
openaire +2 more sources
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 +4 more
doaj +1 more source
Nonparametric Estimation of the Tail-Dependence Coefficient
Revstat Statistical Journal, 2013 A common measure of tail dependence is the so-called tail-dependence coefficient. We present a nonparametric estimator of the tail-dependence coefficient and prove its strong consistency and asymptotic normality in the case of known marginal ...
Marta Ferreira
doaj +1 more source
Tail asymptotics for dependent subexponential differences [PDF]
Siberian Mathematical Journal, 2012 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Albrecher, H +2 more
openaire +4 more sources
TAIL DEPENDENCE OF COMMODITY FUTURES RETURNS IN THE AGRICULTURAL AND ENERGY SECTORS [PDF]
Annals of the Polish Association of Agricultural and Agribusiness EconomistsThe 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
Dependence Modeling, 2022 The extreme value theory presents specific tools for modeling and predicting extreme phenomena. In particular, risk assessment is often analyzed through measures for tail dependence and high values clustering.
Ferreira Helena, Ferreira Marta
doaj +1 more source
Dependence between Chinese stock market and Vietnamese stock market during the Covid-19 pandemic
Heliyon, 2022 The study aims to investigate the tail dependence between Chinese stock market and Vietnamese stock market in the context of the Covid-19 pandemic.
Van Chien Nguyen, Thu Thuy Nguyen
doaj +1 more source
On Construction of Bernstein-Bézier Type Bivariate Archimedean Copula
Revstat Statistical Journal, 2022 In this paper, a new class of bivariate multi-parameter Archimedean copula based on Kendall distribution using Bernstein-Bézier polynomials is introduced. The new class copula has flexible dependence properties depending on the polynomial degree and the
Selim Orhun Susam , Burcu Hudaverdi
doaj +1 more source