Quantile correlation coefficient: a new tail dependence measure
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Cites work
- A structural break test for extremal dependence in \(\beta\)-mixing random vectors
- Bandwidth selection for kernel conditional density estimation.
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- Dependence modelling for spatial extremes
- Dynamic tail dependence clustering of financial time series
- ESTIMATION OF A DENSITY FUNCTION USING ORDER STATISTICS1
- Extremal memory of stochastic volatility with an application to tail shape inference
- Limiting distributions for \(L_1\) regression estimators under general conditions
- On functional central limit theorems for dependent, heterogeneous arrays with applications to tail index and tail dependence estimation
- Quantile Regression under Misspecification, with an Application to the U.S. Wage Structure
- Quantile correlations and quantile autoregressive modeling
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- Statistics for near independence in multivariate extreme values
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- Tail dependence functions and vine copulas
- Tail dependence of skew \(t\)-copulas
- The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
- Vine copulas with asymmetric tail dependence and applications to financial return data
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