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Links between US and Turkish agricultural commodity Markets: Nonlinear dependence and tail risk
Borsa Istanbul Review, 2023 In these unprecedented times, marred by the effects of the Covid-19 pandemic, global warming, and the war in Ukraine that began in February 2022, new approaches such as tail dependence have attracted more interest than conventional market dependence ...
Zehra Atik +2 more
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Tail dependence and heavy tailedness in extreme risks
Insurance, Mathematics & Economics, 2021 In the modeling of multivariate extreme risks, the tail dependence and the heavy tailedness are the two key factors. Heavy tailedness are usually defined through the regular variation.
Liuyan Ji, K. S. Tan, Fan Yang
semanticscholar +1 more source
General Multivariate Dependence using Associated Copulas
Revstat Statistical Journal, 2016 This paper studies the general multivariate dependence and tail dependence of a random vector. We analyse the dependence of variables going up or down, covering the 2 d orthants of dimension d and accounting for non-positive dependence.
Yuri Salazar Flores
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Risks, 2020 This paper examines the joint movement and tail dependence structure between the pair of foreign exchange rates (EUR, USD and GBP) against the GHS, using daily exchange rates data expressed in GHS per unit of foreign currencies (EUR, USD and GBP) between
Prince Osei Mensah, Anokye M. Adam
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Stable tail dependence functions – some basic properties
Dependence Modeling, 2022 We prove some important properties of the extremal coefficients of a stable tail dependence function (“STDF”) and characterise logistic and some related STDFs.
Ressel Paul
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A geometric investigation into the tail dependence of vine copulas [PDF]
Journal of Multivariate Analysis, 2020 Vine copulas are a type of multivariate dependence model, composed of a collection of bivariate copulas that are combined according to a specific underlying graphical structure.
Emma S. Simpson, J. Wadsworth, J. Tawn
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A Note on Tail Dependence Regression
SSRN Electronic Journal, 2013 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Qingzhao Zhang 0002 +2 more
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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
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Correlation analysis of financial assets based on asymmetric copula
Frontiers in Applied Mathematics and Statistics, 2022 Based on the asymmetric copula function, this paper analyzes the static and dynamic correlation between Shanghai Composite Index and Shenzhen Composite Index.
Xia Li, Bing Hou
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Assessing the dependence structure between oceanographic, fluvial, and pluvial flooding drivers along the United States coastline [PDF]
Hydrology and Earth System Sciences, 2021 Flooding is of particular concern in low-lying coastal zones that are prone to flooding impacts from multiple drivers, such as oceanographic (storm surge and wave), fluvial (excessive river discharge), and/or pluvial (surface runoff).
A. A. Nasr +4 more
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