Tail dependence
Tail order and intermediate tail dependence of multivariate copulas
... have tail patterns and tail asymmetry different from multivariate Gaussian and t copulas, we introduce the concepts of tail order and tail order ...both tail dependence and ...
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Nonparametric tests for constant tail dependence with an application to energy and finance
... the tail dependence? Second, extensions to the case of serially dependent datasets ...constant tail dependence of the raw data which might also be of interest for ...
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Some results on weak and strong tail dependence coefficients for means of copulas
... the dependence structure of multivariate distributions in a natural ...extremal dependence measures (e.g. weak and strong tail dependence coefficients) for (weighted) geometric and arithmetic ...
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Empirical Estimation of Tail Dependence Using Copulas. Application to Asian Markets
... In a first analysis, we can nevertheless use these approaches to understand co-movements between Asian markets. If we keep in mind the results obtained using the first approach, we observe that the bivariate distribution ...
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Overreaction and Multiple Tail Dependence at the High-frequency Level — The Copula Rose
... This paper applies a non- and a semiparametric copula-based ap- proach to analyze the first-order autocorrelation of returns in high fre- quency financial time series. Using the EUREX D3047 tick data from the German ...
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Measuring and Testing Tail Dependence and Contagion Risk between Major Stock Markets
... multivariate dependence i.e. the structural dependence of marginal distribution ...structural dependence called copula is used recently to describe the multivariate distribution and structural ...
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Detecting structural differences in tail dependence of financial time series
... non-standard tail dependence struc- tures, we quantify the number of tail asymmetric pairs that scalar approaches would miss due to off-diagonal tail ...analyze tail dependence ...
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Tail dependence and indicators of systemic risk for large US depositories
... of tail dependence between depository institutions can be the result of changes in the market systematic risk, as well as the result of changes in risk fac- tors that are common to depository institutions, ...
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Tail Dependence Measure for Examining Financial Extreme Co-movements
... asymptotic dependence is extremely challenging due to limited observations in the tail region, and so it is always desirable to have some alternative measures and competitive statistical ...between ...
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Auto tail dependence coefficients for stationary solutions of linear stochastic recurrence equations and for GARCH(1,1)
... Our proofs in the GARCH(1, 1)-case parallel those for scalar SRE. It would have been more satisfactory if we could have derived the auto-tail dependence coef- ficients of a GARCH(1, 1) directly from those ...
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Study the impact of smile and tail dependence on the prices of European style bivariate equity and interest rate derivatives using Copulas and UVDD model
... the dependence between the random variables (equity prices or interest rates) from their marginal ...of tail dependence, as in this case tail dependence is observed as “increasing ...
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Measuring Tail Dependence for Aggregate Collateral Losses Using Bivariate Compound Shot Noise Cox Process
... upper tail dependence measures and the quantities (4) and (6) are conditional tail expecta- ...extremal dependence in the upper tail of a bi- variate distribution is that insurance ...
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Tail Dependence Study of SSE Composite Index and SZSE Component Index Based on the Copula
... Tail dependence can be used to represent extreme events of the interaction between the variables, for example, when the random variable X increased or decreased sig- nificantly, the probability of the ...
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Tail Dependence between Rainfall Characteristics using Copula: The Case of Pahang State
... tails. Tail dependence is one of the important approaches in extreme value analysis which describes the dependence in tail of a multivariate ...of dependence such as the Spearman ...
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Lower Tail Dependence for Archimedean Copulas: Characterizations and Pitfalls
... Tail dependence copulas provide a natural perspective from which one can study the dependence in the tail of a multivariate ...lower tail dependence copulas to the Clayton ...
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Auto dependence structure of arch models: tail dependence coefficients
... lower tail dependence coefficients, a typical example of which would be the limit, for α tending to 0, of the probability that X will be smaller than its √ α-th quantile given that Y than its α-th ...
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Distorted Copulas: Constructions and Tail Dependence
... a dependence property and for its implications on the preservation of the 2-increasing property under ...4, dependence on the tails of the copula is ...the tail dependence properties are ...
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A note on a non-parametric tail dependence estimator
... Suggested citation: Fischer, Matthias J.; Dörflinger, Marco (2006) : A note on a non- parametric tail dependence estimator, Diskussionspapiere // Friedrich-Alexander-. Universität Erlang[r] ...
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Copula-based measures of tail dependence with applications
... (tail) dependence among the markets under ...of tail dependence, namely the (lower) tail de- pendence coefficient and the conditional Spearman’s ...at tail dependence ...
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Robust nonparametric estimation of the conditional tail dependence coefficient
... Here h is assumed to be the true (typically unknown) density of the data, whereas g is a paramet- ric model, depending on a parameter vector θ which is determined by minimizing the empirical version of (1). The resulting ...
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