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david trudel and ispartners ag dr rainer rueppel abstract this thesis assesses the tail dependence of hedge funds applying various linear and nonlinear methods of tail dependence
multivariate extremal density expansions and residual tail dependence structuresresidual tail dependence structures der naturwissenschaften vorgelegt von eingereicht beim
ar x iv :0 71 0. 20 39 v2 [ m at h. st ] 1 4 n ov 2 00 8 bernoulli 14(4), 2008, 1003–1026 doi: 10.3150/08-bej130 a method of moments estimator of tail dependence john h.j.…
tail dependence in reits returns kridsda nimmanunta kanak patel eres conference 2009, stockholm, sweden 24 – 27 th june 2009 university of cambridge overview nimmanunta…
copulas, higher-moments and tail risks nov 2005 eth-zurich chair of entrepreneurial risks department of management, technology and economics (d-mtec) zurich, switzerland…
dynamic conditional correlations and tail dependencies: copula-based vertical price co-movement analysis feng qiu∗ abstract this study extends the existing application…
natale_optimization tail risk1 optimization with tail-dependence and tail risk: a copula based approach for strategic asset allocation francesco paolo natale department of
policy implications fat tails tail dependence micro correlations can we insure these risks? cooke and kousky nsf# 0960865 1 these risks have big loss years: nfip example…
tail dependence in reits returns kridsda nimmanunta nida business school, thailand kanak patel university of cambridge, uk sec working paper forum #9 22nd october 2015 overview…
research paper series n 3 2015 a portfolio diversification strategy via tail dependence measures fabrizio durante faculty of economics and management free university of bozen-bolzano…
slide 1 fat tails tail dependence micro correlations fat tails cooke and kousky nsf# 0960865 http://www.rff.org/events/pages/introductio n-climate-change-extreme-events.aspx…
folie 1 statistical issues with financial market data a: cross-section data: - deviations from multivariate normality - tail dependence - copulas - default predictions b:…
unconditional copula-based simulation of tail dependence for co-movement of international equity markets wei sun institute for statistics and mathematical economics university…
copulas tail dependence and value at risk rajeeva l karandikar director chennai mathematical institute rlk@cmiacin rkarandikar@gmailcom rajeeva l karandikar director chennai…
semi-parametric models for the multivariate tail dependence function - the asymptotically dependent case by claudia klüppelberg, gabriel kuhn center for mathematical sciences,…
estimating the tail-dependence coefficient: properties and pitfalls gabriel frahm∗ markus junker† rafael schmidt‡ may 26, 2006 abstract the concept of tail dependence…
1 extreme return-volume relationship in crypto currencies: tail dependence analysis muhammad naeem corresponding author: university of central punjab email: naeem787@gmailcom…
explaining the failure to insure catastrophic risks carolyn kousky and roger cooke resources for the future, 1616 p street nw, washington dc 20036, u.s.a. e-mails: [email protected];…
sains malaysiana 40(8)(2011): 927–935 tail dependence estimate in financial market risk management: clayton-gumbel copula approach (nilai kebersandaran ekor bagi anggaran…
slide 1 chanda slide 2 t ypes of b ettas shown are the half-moon, rose tail, delta tail, round tail, veil tail, spade tail, double tail, crown tail, and lastly “clown tail”…