Search Results - subject:"tail dependence"

Discovering intraday tail dependence patterns via a full-range tail dependence copula

Hua, Lei - In: Risks : open access journal 11 (2023) 11, pp. 1-17

In this research, we employ a full-range tail dependence copula to capture the intraday dynamic tail dependence …-off and a rally thereafter. We also introduce a model-based unified tail dependence measure to directly model and compare … various tail dependence patterns. Using regression analysis of the upper and lower tail dependence simultaneously, we have …

Persistent link: https://www.econbiz.de/10014436379

The risk of clustering of deprivations in Spain : a tale of two crises

García-Gómez, César; Pérez, Ana - In: Applied economic analysis : AEA 33 (2025) 97, pp. 53-75

Persistent link: https://www.econbiz.de/10015411670

Dynamic asymmetric tail dependence structure among multi-asset classes for portfolio management : dynamic skew-t copula approach

Ito, Kakeru; Yoshiba, Toshinao - In: International review of economics & finance : IREF 97 (2025), pp. 1-19

Persistent link: https://www.econbiz.de/10015324226

Systemic risk spillovers of nonfinancial firms : does bank liquidity hoarding matter? Evidence from China

Zhu, Bo; Zhang, Yufei; Li, Xiru; Hu, Xin - In: International review of economics & finance : IREF 103 (2025), pp. 1-19

Persistent link: https://www.econbiz.de/10015508849

Systemic risk spillovers of nonfinancial firms : does bank liquidity hoarding matter? Evidence from China

Zhu, Bo; Zhang, Yufei; Li, Xiru; Hu, Xin - In: International review of economics & finance : IREF 103 (2025), pp. 1-19

Persistent link: https://www.econbiz.de/10015484635

Measuring non-exchangeable tail dependence using tail copulas

Koike, Takaaki; Kato, Shogo; Hofert, Marius - In: ASTIN bulletin : the journal of the International … 53 (2023) 2, pp. 466-487

Persistent link: https://www.econbiz.de/10014320337

Data Analysis for Risk Management – Economics, Finance and Business

Jajuga, Krzysztof (contributor); … - 2024

This reprint concerns methods of data analysis for risk management in economics, finance, and business. The presented papers contain research on data analysis methods, including classical statistical methods, and machine learning methods that have emerged from statistics and are being...

Persistent link: https://www.econbiz.de/10015324884

Tail-risk spillovers and interconnectedness in international logistics markets: a QVAR approach

Alqaralleh, Huthaifa; Khoury, Rim El; Alshater, Muneer M. - In: Cogent Economics & Finance 12 (2024) 1, pp. 1-26

This research explores the interdependence within the international logistics sector among 17 nations, utilizing a quantile-based technique to assess the transmission of returns. By analyzing daily data from DataStream spanning from 1 June 2016, to 12 August 2024, we apply the Quantile Vector...

Persistent link: https://www.econbiz.de/10015426130

Tail-risk spillovers and interconnectedness in international logistics markets : a QVAR approach

Alqaralleh, Huthaifa; El Khoury, Rim; Alshater, Muneer Maher - In: Cogent economics & finance 12 (2024) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10015211234

A generalization of the Topological Tail Dependence theory : from indices to individual stocks

Souto, Hugo Gobato; Moradi, Amir - 2024

This study investigates the Topological Tail Dependence (TTD) theory's applicability to individual stock volatility and …

Persistent link: https://www.econbiz.de/10015418080