Results 31 to 40 of about 1,282,215 (298)
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
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Conditional quantiles and tail dependence
Journal of Multivariate Analysis, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Carole Bernard, Claudia Czado
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Investigating tail-risk dependence in the cryptocurrency markets: A LASSO quantile regression approach [PDF]
, 2020 © 2020 Elsevier B.V. We construct the complete network of tail risk spillovers among major cryptocurrencies using the Least Absolute Shrinkage and Selection Operator (LASSO) quantile regression.
Nguyen, Linh H. +3 more
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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
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AnM-Estimator of Spatial Tail Dependence [PDF]
Journal of the Royal Statistical Society Series B: Statistical Methodology, 2014 SummaryTail dependence models for distributions attracted to a max-stable law are fitted by using observations above a high threshold. To cope with spatial, high dimensional data, a rank-based M-estimator is proposed relying on bivariate margins only. A data-driven weight matrix is used to minimize the asymptotic variance.
Einmahl, J.H.J. +3 more
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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
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Tail order and intermediate tail dependence of multivariate copulas
Journal of Multivariate Analysis, 2011 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lei Hua, Harry Joe
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Strength of tail dependence based on conditional tail expectation
Journal of Multivariate Analysis, 2014 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lei Hua, Harry Joe
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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
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Robust Learning of Tail Dependence
EconometricsAccurate estimation of tail dependence is difficult due to model misspecification and data contamination. This paper introduces a class of minimum f-divergence estimators for the tail dependence coefficient that unifies robust estimation with extreme ...
Omid M. Ardakani
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