Drivers of firm-level tail dependence: a machine learning approach

DOI10.1016/J.JEDC.2025.105207MaRDI QIDQ7237288zbMATH OpenFDO

Authors Thomas Conlon, John Cotter, Ioannis Ropotos

Publication date 30 April 2026

Published in Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JEDC.2025.105207

zbMATH Keywords

copulasdeterminantsfirm-level tail dependencemachine learningrandom forest regressionShapley values

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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