Asymmetric tail dependence modeling, with application to cryptocurrency market data

DOI10.1214/21-AOAS1568zbMath1498.62308arXiv1905.05056OpenAlexW2944446553MaRDI QIDQ2170437

Yan Gong, Raphaël Huser

Publication date: 5 September 2022

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.05056

zbMATH Keywords

extreme-value theorytail dependencecopula modelcryptocurrency datajoint-tail modeling

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32)

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