Tail dependence measure for examining financial extreme co-movements (Q308388)
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scientific article; zbMATH DE number 6623661
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| English | Tail dependence measure for examining financial extreme co-movements |
scientific article; zbMATH DE number 6623661 |
Statements
Tail dependence measure for examining financial extreme co-movements (English)
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6 September 2016
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asymptotic dependence and independence
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copula
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extreme co-movement
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Kendall's tau
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measure of association
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0.8212635517120361
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0.8189607262611389
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0.8003591895103455
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0.7868102788925171
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0.7811064124107361
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