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tail dependence tail dependence fat tails micro correlations tail dependence âwhen sorrows come, they comeâ¦in battalions.â king claudius, hamlet prince of denmark, act…
insurance: mathematics and economics 37 (2005) 80–100 estimating the tail-dependence coefficient: properties and pitfalls gabriel frahma, markus junkerb,∗, rafael schmidta,c…
1 tail dependence rafael schmidt 1.1 introduction tail dependence describes the amount of dependence in the tail of a bivariate distribution. in other words, tail dependence…
micro correlations and tail dependence roger cooke resources for the future & dept. math tu delft vine-copula workshop dec. 16-17, 2008 subsequently, insurers were required…
tail dependence models for risk management fabrizio durante dipartimento di scienze dell’economia università del salento lecce italy fabriziodurante@unisalentoit sitesgooglecomsitefbdurante…
modeling tail dependence using copulas — literature review jan de kort march 15, 2007 1 contents 1 bivariate copulas 5 1.1 sklar’s theorem . . . . . . . . . . . . . .…
detecting structural differences in tail dependence of financial time series by carsten bormann and melanie schienle no 122 january 2019 working paper series in economics…
detecting structural differences in tail dependence of financial time series by carsten bormann and melanie schienle no 122 january 2019 working paper series in economics…
pricing multi-asset financial products with tail dependence using copulas master’s thesis j.p. de kort delft university of technology delft institute for applied mathematics…
the annals of applied probability 2016 vol 26 no 3 1636–1658 doi: 10121415-aap1128 © institute of mathematical statistics 2016 bernoulli and tail-dependence compatibility…
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membership testing for bernoulli and tail-dependence matrices daniel krause chair of mathematical finance technische universität münchen parkring 11 85748 garching-hochbrück…
var for var: measuring tail dependence using multivariate regression quantiles∗ halbert white† tae-hwan kim‡ simone manganelli§ august 8, 2012 abstract this paper…
pii: 0010-2180(89)90141-7combustion a n d f l a m e 77:359-374 (1989) pulse combustor tail-pipe heat-transfer dependence on frequency, amplitude, and mean flow rate j o h
sains malaysiana 40(8)(2011): 927–935 tail dependence estimate in financial market risk management: clayton-gumbel copula approach (nilai kebersandaran ekor bagi anggaran…
extreme conditional tail moment estimation under serial dependence yannick hoga∗ may 18, 2018 ∗faculty of economics and business administration, university of duisburg-essen,…
munich personal repec archive measuring and testing tail dependence and contagion risk between major stock markets su ender national kaohsiung first university of science…
humboldt- universität zu berlin edda klipp, humboldt-universität zu berlin boolean networks edda klipp humboldt-universität berlin ss 2010 humboldt- universität zu berlin…
does tail dependence make a difference in the estimation of systemic risk? ∆cov ar and mes chuanliang jiang ∗ november 12, 2012 abstract the notion of systemic risk is…
1616 p st. nw washington, dc 20036 202-328-5000 www.rff.org september 2009; revised november 2009 rff dp 09-36-rev the unholy trinity: fat tails, tail dependence, and micro-correlations…