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Nonparametric estimator of the tail dependence coefficient: balancing bias and variance
A theoretical expression is derived for the mean squared error of a nonparametric estimator of the tail dependence coefficient, depending on a...
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Quantile correlation coefficient: a new tail dependence measure
A quantile correlation coefficient is newly defined as the geometric mean of two quantile regression slopes—that of X on Y and that of Y on X—in the...
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Permutation test of tail dependence
We propose and analyze a permutation test of the tail dependence between two random variables whose marginal distributions are assumed to be known....
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Tail-dependence, exceedance sets, and metric embeddings
There are many ways of measuring and modeling tail-dependence in random vectors: from the general framework of multivariate regular variation and the...
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Tail Dependence Functions of Two Classes of Bivariate Skew Distributions
The tail dependence function, one method of measuring the strength of extremal dependence between two or more random variables, is attracting an...
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Tail Dependence of Generalized Modified Skew Slash Distribution
In this article, the generalized modified skew slash distribution is introduced. Some of its basic properties are obtained. In addition, the tail...
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Copula-based measures of asymmetry between the lower and upper tail probabilities
We propose a copula-based measure of asymmetry between the lower and upper tail probabilities of bivariate distributions. The proposed measure has a...
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The General Tail Dependence Function in the Marshall-Olkin and Other Parametric Copula Models with an Application to Financial Time Series
The accurate understanding of the dependence structure implied by the parametric models studied in statistical and financial literature has drawn...
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Tail adversarial stability for regularly varying linear processes and their extensions
The notion of tail adversarial stability has been proven useful in obtaining limit theorems for tail dependent time series. Its implication and...
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Leveraging Extremal Dependence to Better Characterize the 2021 Pacific Northwest Heatwave
In late June, 2021, a devastating heatwave affected the US Pacific Northwest and western Canada, breaking numerous all-time temperature records by...
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Counterdiagonal/nonpositive tail dependence in Vine copula constructions: application to portfolio management
Accurately modelling the dependence structure between financial assets in a portfolio optimization framework has attracted growing attention in...
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Tail Behavior for Bivariate Distributions Based on Pareto Mixtures
For conditional tail inferences from multivariate distributions, we desire models with positive dependence for which conditional distributions of one...
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On tail dependence matrices
Among bivariate tail dependence measures, the tail dependence coefficient has emerged as the popular choice. Akin to the correlation matrix, a...
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Strong consistency of tail value-at-risk estimator and corresponding general results under widely orthant dependent samples
In this paper, strong consistency of tail value-at-risk (TVaR) estimator under widely orthant dependent (WOD) samples is established, and a numerical...
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A copula-based portrayal of the collider bias
This article proposes to use copulas to characterize the collider bias that concerns the non-substantive change in the causal dependence between...
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Tail dependence and smoothness of time series
The risk of catastrophes is related to the possibility of occurring extreme values. Several statistical methodologies have been developed in order to...
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On approximating dependence function and its derivatives
Bivariate extreme value distributions can be used to model dependence of observations from random variables in extreme levels. There is no finite...
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Understanding relationships with the Aggregate Zonal Imbalance using copulas
In the Italian electricity market, we analyze the Aggregate Zonal Imbalance, which is the algebraic sum, changed in sign, of the amount of energy...
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On a bivariate copula for modeling negative dependence: application to New York air quality data
In many practical scenarios, including finance, environmental sciences, system reliability, etc., it is often of interest to study the various notion...
