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Nonparametric Estimation of the Tail-Dependence Coefficient
Revstat Statistical Journal, 2013 A common measure of tail dependence is the so-called tail-dependence coefficient. We present a nonparametric estimator of the tail-dependence coefficient and prove its strong consistency and asymptotic normality in the case of known marginal ...
Marta Ferreira
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Methods of Tail Dependence Estimation [PDF]
, 2012 Characterization and quantification of climate extremes and their dependencies are fundamental to the studying of natural hazards. This chapter reviews various parametric and nonparametric tail dependence coefficient estimators.
Aghakouchak, Amir +2 more
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Tail asymptotics for dependent subexponential differences [PDF]
Siberian Mathematical Journal, 2012 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Albrecher, H +2 more
openaire +4 more sources
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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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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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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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
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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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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