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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.
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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
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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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Threshold copulas and positive dependence [PDF]
, 2008 Starting with a notion of positive dependence View the MathML source and with the family of the lower threshold copulas Ct associated with a bivariate distribution having copula C, we define different notions of positive dependence for C, reflecting the ...
Fabio Spizzichino +5 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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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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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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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
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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
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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
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