Tail dependence estimate in financial market risk management: Clayton-Gumbel copula approach

zbMATH Open1229.91365MaRDI QIDQ3099486FDOQ3099486

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Publication date: 1 December 2011

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zbMATH Keywords

tail dependencecopulasrisk measuresEGARCH model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cited In (14)

• Selection of mixed copula for association modeling with tied observations
• A compendium of copulas
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• The dependence structure between equity and foreign exchange markets and tail risk forecasts of foreign investments
• Extreme interdependency of the high-frequency data in financial markets research based on Clayton Copula function
• Copulas and tail dependence in finance
• Joint modelling of the body and tail of bivariate data
• Using copulas to model dependence between crude oil prices of west Texas intermediate and Brent-Europe
• Investigation of the dependence structure between imports and manufacturing production index of Thailand using copula-based GARCH model
• A mixture of canonical vine copula-GARCH approach for modeling dependence of European electricity markets
• Asymmetric extreme interdependence in emerging equity markets
• A measurement of affluence and poverty interdependence across countries: evidence from the application of tail copula
• Title not available (Why is that?)
• Modelling co-movements and tail dependency in the international stock market via copulae

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