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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 clustering of time series with spatial constraints
We introduce a clustering method for time series based on tail dependence. Such a method also considers spatial constraints by means of a suitable...
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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-based fuzzy clustering of financial time series
In this paper, we propose a new fuzzy clustering of time series with entropy regularization. Following a model-based approach, the dissimilarity...
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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 oil price-macroeconomy dependence
This paper investigates the relationship between the price of oil and real output in the United States in the context of a Markov regime switching,...
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A Regulated Market Under Sanctions. On Tail Dependence Between Oil, Gold, and Tehran Stock Exchange Index
We demonstrate that the tail dependence should always be taken into account as a proxy for systematic risk of loss for investments. We provide the...
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Volatility and dependence in energy markets
We use a semiparametric GARCH-in-Mean copula model to examine the price evolution and volatility dynamics of crude oil, natural gas, and hydrocarbon...
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Asymptotics for the joint tail probability of bidimensional randomly weighted sums with applications to insurance
This paper studies the joint tail behavior of two randomly weighted sums ∑
i =1 m Θ i X i and ∑j =1 n θ j Y j for some m, n ∈ ℕ ∪{∞}, in which the primary... -
The Lower Tail of q-pushTASEP
We study q -pushTASEP, a discrete time interacting particle system whose distribution is related to the q -Whittaker measure. We prove a uniform in N ...
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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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An evaluation of the adequacy of Lévy and extreme value tail risk estimates
This study investigates the simplicity and adequacy of tail-based risk measures—value-at-risk (VaR) and expected shortfall (ES)—when applied to tail...
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The comovements of tail risks in time and frequency domains: evidence from US and emerging Asian stock markets
The study applies the wavelet local multiple correlations to investigate the level of comovements among the tail risks of US and emerging Asian stock...
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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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Pattern and determinants of tail-risk transmission between cryptocurrency markets: new evidence from recent crisis episodes
The main objective of this study is to investigate tail risk connectedness among six major cryptocurrency markets and determine the extent to which...
