Tail dependence measure for examining financial extreme co-movements
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Cites work
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Cited in
(11)- An analysis of a heuristic procedure to evaluate tail (in)dependence
- Nonparametric inference for distortion risk measures on tail regions
- On kernel-based estimation of conditional Kendall's tau: finite-distance bounds and asymptotic behavior
- Measuring large comovements in financial markets
- Improving financial risk assessment through dependency
- Tail dependence of the Gaussian copula revisited
- A note on tail dependence regression
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- Tail behaviours of multiple-regime threshold AR models with heavy-tailed innovations
- Dynamic modeling of tail risk: Applications to China, Hong Kong and other Asian markets
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