Tail dependence between gold and sectorial stocks in China: perspectives for portfolio diversification
Sign Up to like & getrecommendations! Published in 2017 at "Empirical Economics"
DOI: 10.1007/s00181-017-1381-8
Abstract: This article analyzes the relationship between gold quoted on the Shanghai Gold Exchange and Chinese sectorial stocks from 2009 to 2015. Using different copulas, our results show that there is weak but significant tail dependence… read more here.
Keywords: diversification; dependence gold; gold; tail dependence ... See more keywords
A New Dynamic Mixture Copula Mechanism to Examine the Nonlinear and Asymmetric Tail Dependence Between Stock and Exchange Rate Returns
Sign Up to like & getrecommendations! Published in 2020 at "Computational Economics"
DOI: 10.1007/s10614-020-09981-5
Abstract: This paper develops a new time-varying mixture copula, in which the dynamic weights of four distinct copulas are determined by a two-stratum process, to investigate the magnitude of tail dependence in four independent quadrants. In… read more here.
Keywords: tail dependence; copula; dependence; mixture copula ... See more keywords
Using nonparametric copulas to measure crude oil price co-movements
Sign Up to like & getrecommendations! Published in 2019 at "Energy Economics"
DOI: 10.1016/j.eneco.2018.05.022
Abstract: Abstract Tail dependence of crude oil price returns between four major benchmark markets are analyzed through the lenses of nonparametric copula models. This paper illustrates that nonparametric copula is flexible to incorporate important empirical patterns… read more here.
Keywords: oil price; using nonparametric; oil; crude oil ... See more keywords
Tail dependence and heavy tailedness in extreme risks
Sign Up to like & getrecommendations! Published in 2021 at "Insurance: Mathematics and Economics"
DOI: 10.1016/j.insmatheco.2021.03.016
Abstract: Abstract In the modeling of multivariate extreme risks, the tail dependence and the heavy tailedness are the two key factors. Heavy tailedness are usually defined through the regular variation. Tail dependence can be modeled by… read more here.
Keywords: extreme risks; dependence; heavy tailedness; dependence heavy ... See more keywords
A STATISTICAL METHODOLOGY FOR ASSESSING THE MAXIMAL STRENGTH OF TAIL DEPENDENCE
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DOI: 10.1017/asb.2020.21
Abstract: Several diagonal-based tail dependence indices have been suggested in the literature to quantify tail dependence. They have well-developed statistical inference theories but tend to underestimate tail dependence. For those problems when assessing the maximal strength… read more here.
Keywords: methodology; dependence; tail dependence; assessing maximal ... See more keywords
Tail Dependence between Crude Oil Volatility Index and WTI Oil Price Movements during the COVID-19 Pandemic
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DOI: 10.3390/en14144147
Abstract: This study investigates the dependence between extreme returns of West Texas Intermediate (WTI) crude oil prices and the Crude Oil Volatility Index (OVX) changes as well as the predictive power of OVX to generate accurate… read more here.
Keywords: tail dependence; crude oil; index; oil ... See more keywords
Tail Dependence in Financial Markets: A Dynamic Copula Approach
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DOI: 10.3390/risks7040116
Abstract: This article is concerned with the study of the tail correlation among equity indices by means of dynamic copula functions. The main idea is to consider the impact of the use of copula functions in… read more here.
Keywords: copula approach; dependence financial; markets dynamic; financial markets ... See more keywords
Prediction of High-ozone Events Using GAM, SMOTE, and Tail Dependence Approaches in Texas (2005-2019)
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DOI: 10.4209/aaqr.210077
Abstract: ABSTRACT We test two methods for ozone prediction in the El Paso (ELP) and Houston-Galveston-Brazoria (HGB) regions of Texas from 2005–2019: (1) a Generalized Additive Model (GAMs) with the Synthetic Minority Over-sampling TEchnique (SMOTE) and… read more here.
Keywords: dependence; selection; tail dependence; prediction ... See more keywords
Random Threshold Driven Tail Dependence Measures with Application to Precipitation Data Analysis
Sign Up to like & getrecommendations! Published in 2017 at "Statistica Sinica"
DOI: 10.5705/ss.202014.0421
Abstract: This paper first studies the theoretical properties of the tail quotient correlation coefficient (TQCC) which was proposed to measure tail dependence between two random variables. By introducing random thresholds in TQCC, an approximation theory between… read more here.
Keywords: tail dependence; threshold driven; random threshold; tail ... See more keywords