Quantile correlation coefficient: a new tail dependence measure
From MaRDI portal
Publication:2165833
DOI10.1007/S00362-021-01268-7OpenAlexW3209424892MaRDI QIDQ2165833
Publication date: 23 August 2022
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1803.06200
Related Items (1)
Cites Work
- Unnamed Item
- The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
- Extremal memory of stochastic volatility with an application to tail shape inference
- On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation
- Tail dependence functions and vine copulas
- Dynamic tail dependence clustering of financial time series
- Limiting distributions for \(L_1\) regression estimators under general conditions
- Vine copulas with asymmetric tail dependence and applications to financial return data
- Clustering of time series via non-parametric tail dependence estimation
- Dependence modelling for spatial extremes
- Tail dependence of skew t-copulas
- Statistics for near independence in multivariate extreme values
- Robust Tests for Heteroscedasticity Based on Regression Quantiles
- ESTIMATION OF A DENSITY FUNCTION USING ORDER STATISTICS1
- A structural break test for extremal dependence in β-mixing random vectors
- TAIL AND NONTAIL MEMORY WITH APPLICATIONS TO EXTREME VALUE AND ROBUST STATISTICS
- Quantile Correlations and Quantile Autoregressive Modeling
- Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure
- Bandwidth selection for kernel conditional density estimation.
This page was built for publication: Quantile correlation coefficient: a new tail dependence measure
