Results 41 to 50 of about 2,188,856 (302)

Asymmetric tail dependence modeling, with application to cryptocurrency market data [PDF]

Annals of Applied Statistics, 2019
Since the inception of Bitcoin in 2008, cryptocurrencies have played an increasing role in the world of e-commerce, but the recent turbulence in the cryptocurrency market in 2018 has raised some concerns about their stability and associated risks.
Yan Gong, Raphael Huser
semanticscholar   +1 more source

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, Eric Girardin, Wong K. Wong, Yong Zeng   +3 more
doaj   +1 more source

Tail-event driven NETwork dependence in emerging markets

Emerging Markets Review, 2022
This paper employs the Tail Event NETwork (TENET) to identify financial markets with greater potential risk, and simultaneously investigate the interdependence between them.
M. Naeem, Imran Yousaf, Sitara Karim, L. Yarovaya, Shoaib Ali   +4 more
semanticscholar   +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 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, Jianxi Su, Ri\v{c}ardas Zitikis   +2 more
openaire   +4 more sources

On the tail dependence in bivariate hydrological frequency analysis

Dependence Modeling, 2015
In Bivariate Frequency Analysis (BFA) of hydrological events, the study and quantification of the dependence between several variables of interest is commonly carried out through Pearson’s correlation (r), Kendall’s tau (τ) or Spearman’s rho (ρ).
Lekina Alexandre, Chebana Fateh, Ouarda Taha B. M. J.   +2 more
doaj   +1 more source

Lower Tail Dependence for Archimedean Copulas: Characterizations and Pitfalls [PDF]

SSRN Electronic Journal, 2006
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Charpentier, A., Segers, J.J.J.
openaire   +6 more sources

Robust Learning of Tail Dependence

Econometrics
Accurate 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
doaj   +1 more source

An Analysis of a Heuristic Procedure to Evaluate Tail (in)dependence

Journal of Probability and Statistics, 2014
Measuring tail dependence is an important issue in many applied sciences in order to quantify the risk of simultaneous extreme events. A usual measure is given by the tail dependence coefficient.
Marta Ferreira, Sérgio Silva
doaj   +1 more source