We examine tail dependence between consumer sentiment and spending during crises, focusing on COVID-19 and the Global Financial Crisis. Using copula models on U.S. monthly data from 2003-2024, we quantify extreme co-movements and find asymmetric tail dependence that intensifies during crises:...

This paper investigates tail-risk transmission and asymmetric dependence in commodity markets using an asymmetric fuzzy vine copula framework applied to gold, crude oil, natural gas, and silver from 1 January 2015 to 1 January 2025, extracted from Yahoo Finance. Bootstrap-based trapezoidal fuzzy...

This paper introduces the Copula Asymmetry Index (CAI), a rolling, rank-based measure of asymmetric tail dependence between equity returns and implied-volatility proxies. CAI is defined as the difference between the empirical frequency of joint "equity-down & volatility-up" tail events and that...

Considering achieving a goal in each of several time intervals when, in every time interval, an adverse event may lead to a failure raises the question of the return probability of adverse events, so the probability of at least one failure to happen during the time period of interest. Through...

This paper presents a novel copula-based autoregressive framework for multilayer arrays of integer-valued time series with tensor structure. It complements recent advances in tensor time series that predominantly focus on real-valued data and overlook the unique properties of integer-valued time...