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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.
Hua, Lei, Joe, Harry
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A note on a non-parametric tail dependence estimator [PDF]
We present a non-parametric tail dependence estimator which arises naturally from a specific regression model. Above that, this tail dependence estimator also results from a specific copula mixture.
Dörflinger, Marco, Fischer, Matthias J.
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Tail associations in ecological variables and their impact on extinction risk
Ecosphere, 2020 Extreme climatic events (ECEs) are becoming more frequent and more intense due to climate change. Furthermore, there is reason to believe ECEs may modify "tail associations" between distinct population vital rates, or between values of an environmental ...
Shyamolina Ghosh +2 more
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A new class of copulas with tail dependence and a generalized tail dependence estimator [PDF]
We present a new family of copulas (generalized mean copulas) which is positive comprehensive and allows for upper tail dependence. It includes the Spearman copula and a specific Fréchet copula as special cases.
Fischer, Matthias J., Hinzmann, Gerd
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Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications [PDF]
This paper documents nonlinear cross-sectional dependence in the term structure of U.S. Treasury yields and points out risk management implications. The analysis is based on a Kalman filter estimation of a two-factor affine model which specifies the ...
Alexander Szimayer +2 more
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Modeling Directional Monotonicity in Sequence with Copulas
AxiomsIn this paper, we present the concept of being monotonic in sequence according to a specific direction for a collection of random variables. This concept broadens the existing notions of multivariate dependence, such as sequential left-tail and right ...
José Juan Quesada-Molina +1 more
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Copulas, stable tail dependence functions, and multivariate monotonicity
Dependence Modeling, 2019 For functions of several variables there exist many notions of monotonicity, three of them being characteristic for resp. distribution, survival and co-survival functions. In each case the “degree” of monotonicity is just the basic one of a whole scale.
Ressel Paul
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Tail Dependence among Agricultural Insurance Indices: The Case of Iowa County-Level Rainfalls [PDF]
Index insurance has been promoted as a cost-effective risk management alternative for agricultural producers in developing countries. In this paper, we ask whether spatially separated weather variables commonly used in index insurance design, such as ...
Liu, Pu, Miranda, Mario J.
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Tail Risk in Weather Derivatives
CommoditiesWeather derivative markets, particularly Chicago Mercantile Exchange (CME) Heating Degree Day (HDD) and Cooling Degree Day (CDD) futures, face challenges from complex temperature dynamics and spatially heterogeneous co-extremes that standard Gaussian ...
Tuoyuan Cheng +2 more
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On the residual dependence index of elliptical distributions
, 2009 The residual dependence index of bivariate Gaussian distributions is determined by the correlation coefficient. This tail index is of certain statistical importance when extremes and related rare events of bivariate samples with asymptotic independent ...
Abdous +40 more
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