Results 31 to 40 of about 454,765 (293)
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
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
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
A Euclidean likelihood estimator for bivariate tail dependence [PDF]
, 2012 The spectral measure plays a key role in the statistical modeling of multivariate extremes. Estimation of the spectral measure is a complex issue, given the need to obey a certain moment condition.
de Carvalho, Miguel +3 more
core +2 more sources
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 +3 more
doaj +1 more source
Energies, 2021 This study investigates the dependence between extreme returns of West Texas Intermediate (WTI) crude oil prices and the Crude Oil Volatility Index (OVX) changes as well as the predictive power of OVX to generate accurate Value at Risk (VaR) forecasts ...
Krzysztof Echaust, Małgorzata Just
doaj +1 more source
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
A method of moments estimator of tail dependence [PDF]
, 2007 In the world of multivariate extremes, estimation of the dependence structure still presents a challenge and an interesting problem. A procedure for the bivariate case is presented that opens the road to a similar way of handling the problem in a truly ...
Andrea Krajina +5 more
core +7 more sources
A Note on Upper Tail Behavior of Liouville Copulas
Risks, 2016 The family of Liouville copulas is defined as the survival copulas of multivariate Liouville distributions, and it covers the Archimedean copulas constructed by Williamson’s d-transform.
Lei Hua
doaj +1 more source
PATHS AND INDICES OF MAXIMAL TAIL DEPENDENCE [PDF]
ASTIN Bulletin, 2014 AbstractWe demonstrate both analytically and numerically that the existing methods for measuring tail dependence in copulas may sometimes underestimate the extent of extreme co-movements of dependent risks and, therefore, may not always comply with the new paradigm of prudent risk management.
Edward Furman +2 more
openaire +4 more sources