Copulas, tail dependence and applications to the analysis of financial time series

DOI10.1007/978-3-642-39165-1_3MaRDI QIDQ2864231zbMATH OpenOpenAlexFDO

Authors Fabrizio Durante

Publication date 6 December 2013

Published in Aggregation Functions in Theory and in Practise (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-39165-1_3

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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Cited in

(31)

• DETECTING AND MODELING TAIL DEPENDENCE
• Paths and indices of maximal tail dependence
• Archimedean copulae for risk measurement
• Tail dependence estimate in financial market risk management: Clayton-Gumbel copula approach
• Nonlinear behaviors of tail dependence and cross-correlation of financial time series model
• Contagion determination via copula and volatility threshold models
• scientific article; zbMATH DE number 6448037 (Why is no real title available?)
• Study the long memory effects in tail dependence based on copula models
• Dynamic tail dependence clustering of financial time series
• On a bivariate copula with both upper and lower full-range tail dependence
• On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures
• Copula structured M4 processes with application to high-frequency financial data
• scientific article; zbMATH DE number 7295850 (Why is no real title available?)
• Copula convergence theorems for tail events.
• Tails of correlation mixtures of elliptical copulas
• Heavy tails and copulas. Topics in dependence modelling in economics and finance
• Statistical Modeling of Temporal Dependence in Financial Data via a Copula Function
• Random threshold driven tail dependence measures with application to precipitation data analysis
• How does innovation's tail risk determine marginal tail risk of a stationary financial time series?
• Dependence structures for multivariate high-frequency data in finance
• A New Class of Tail-dependent Time-Series Models and Its Applications in Financial Time Series
• Measuring large comovements in financial markets
• Financial Crisis, VaR Forecasts and the Performance of Time Varying EVT-Copulas
• scientific article; zbMATH DE number 5080942 (Why is no real title available?)
• Copula-GARCH time-varying tail dependence
• scientific article; zbMATH DE number 6193514 (Why is no real title available?)
• Tail dependence for regularly varying time series
• A measurement of affluence and poverty interdependence across countries: evidence from the application of tail copula
• Limiting dependence structures for tail events, with applications to credit derivatives
• scientific article; zbMATH DE number 5260758 (Why is no real title available?)
• Interplay between distributional and temporal dependence. An empirical study with high-frequency asset returns

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