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Estimating the tail-dependence coefficient: Properties and pitfalls

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Cited by:

  1. Dong-Dong Zhang & Deng-Hua Yan & Fan Lu & Yi-Cheng Wang & Jing Feng, 2015. "Copula-based risk assessment of drought in Yunnan province, China," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 75(3), pages 2199-2220, February.
  2. Cerrato, Mario & Crosby, John & Kim, Minjoo & Zhao, Yang, 2014. "Modeling Dependence Structure and Forecasting Portfolio Value-at-Risk with Dynamic Copulas," SIRE Discussion Papers 2015-25, Scottish Institute for Research in Economics (SIRE).
  3. Matteo Iacopini & Dominique Guégan, 2018. "Nonparametric Forecasting of Multivariate Probability Density Functions," Working Papers 2018:15, Department of Economics, University of Venice "Ca' Foscari".
  4. Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2020. "Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications," Journal of Banking & Finance, Elsevier, vol. 115(C).
  5. Dominik Paprotny & Michalis I. Vousdoukas & Oswaldo Morales-Nápoles & Sebastiaan N. Jonkman & Luc Feyen, 2020. "Pan-European hydrodynamic models and their ability to identify compound floods," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 101(3), pages 933-957, April.
  6. Gijbels, Irène & Sznajder, Dominik, 2013. "Testing tail monotonicity by constrained copula estimation," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 338-351.
  7. Rhee, S. Ghon & Wu, Feng (Harry), 2020. "Conditional extreme risk, black swan hedging, and asset prices," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 412-435.
  8. Ziqiang Xing & Denghua Yan & Cheng Zhang & Gang Wang & Dongdong Zhang, 2015. "Spatial Characterization and Bivariate Frequency Analysis of Precipitation and Runoff in the Upper Huai River Basin, China," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 29(9), pages 3291-3304, July.
  9. A. P. Martins & J. R. Sebastião, 2019. "Methods for estimating the upcrossings index: improvements and comparison," Statistical Papers, Springer, vol. 60(4), pages 1317-1347, August.
  10. Ruenzi, Stefan & Ungeheuer, Michael & Weigert, Florian, 2013. "Extreme Downside Liquidity Risk," Working Papers on Finance 1326, University of St. Gallen, School of Finance, revised Jul 2015.
  11. Pavel Krupskii & Harry Joe, 2015. "Tail-weighted measures of dependence," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(3), pages 614-629, March.
  12. Helena Ferreira & Marta Ferreira, 2021. "Tail dependence and smoothness of time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 30(1), pages 198-210, March.
  13. Matkovskyy, Roman, 2019. "Centralized and decentralized bitcoin markets: Euro vs USD vs GBP," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 270-279.
  14. Schmid, Friedrich & Schmidt, Rafael, 2007. "Multivariate conditional versions of Spearman's rho and related measures of tail dependence," Journal of Multivariate Analysis, Elsevier, vol. 98(6), pages 1123-1140, July.
  15. Cerrato, Mario & Crosby, John & Kim, Minjoo & Zhao, Yang, 2015. "US Monetary and Fiscal Policies - Conflict or Cooperation?," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-78, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  16. M. Mehdi Bateni & Mario L. V. Martina & ·Marcello Arosio, 2022. "Multivariate return period for different types of flooding in city of Monza, Italy," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 114(1), pages 811-823, October.
  17. Sun, Mingyang & Cremer, Jochen & Strbac, Goran, 2018. "A novel data-driven scenario generation framework for transmission expansion planning with high renewable energy penetration," Applied Energy, Elsevier, vol. 228(C), pages 546-555.
  18. Faias, José Afonso, 2023. "Predicting the equity risk premium using the smooth cross-sectional tail risk: The importance of correlation," Journal of Financial Markets, Elsevier, vol. 63(C).
  19. Fabrizio Durante & Roberta Pappadà & Nicola Torelli, 2015. "Clustering of time series via non-parametric tail dependence estimation," Statistical Papers, Springer, vol. 56(3), pages 701-721, August.
  20. Jäschke, Stefan, 2014. "Estimation of risk measures in energy portfolios using modern copula techniques," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 359-376.
  21. Dobrić, Jadran & Frahm, Gabriel & Schmid, Friedrich, 2007. "Dependence of stock returns in bull and bear markets," Discussion Papers in Econometrics and Statistics 9/07, University of Cologne, Institute of Econometrics and Statistics.
  22. Dunxian She & Jun Xia, 2018. "Copulas-Based Drought Characteristics Analysis and Risk Assessment across the Loess Plateau of China," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 32(2), pages 547-564, January.
  23. Tjøstheim, Dag & Hufthammer, Karl Ove, 2013. "Local Gaussian correlation: A new measure of dependence," Journal of Econometrics, Elsevier, vol. 172(1), pages 33-48.
  24. Roman Matkovskyy, 2019. "Extremal Economic (Inter)Dependence Studies: A Case of the Eastern European Countries," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(3), pages 667-698, September.
  25. Wu, Weiou & Lau, Marco Chi Keung & Vigne, Samuel A., 2017. "Modelling asymmetric conditional dependence between Shanghai and Hong Kong stock markets," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1137-1149.
  26. Karishma Ansaram & Paolo Mazza, 2022. "Dependence structure among carbon markets around the world: New evidence from GARCH-copula analysis," Working Papers 2022-ACF-03, IESEG School of Management.
  27. Michael C. Munnix & Rudi Schafer, 2011. "A Copula Approach on the Dynamics of Statistical Dependencies in the US Stock Market," Papers 1102.1099, arXiv.org, revised Mar 2011.
  28. Trabelsi, Nader, 2017. "Asymmetric tail dependence between oil price shocks and sectors of Saudi Arabia System," The Journal of Economic Asymmetries, Elsevier, vol. 16(C), pages 26-41.
  29. Curtis B. Storlie & Brian J. Reich & William N. Rust & Lawrence O. Ticknor & Amanda M. Bonnie & Andrew J. Montoya & Sarah E. Michalak, 2017. "Spatiotemporal Modeling of Node Temperatures in Supercomputers," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(517), pages 92-108, January.
  30. Cerrato, Mario & Crosby, John & Kim, Minjoo & Zhao, Yang, 2017. "Relation between higher order comoments and dependence structure of equity portfolio," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 101-120.
  31. Lehtomaa, Jaakko & Resnick, Sidney I., 2020. "Asymptotic independence and support detection techniques for heavy-tailed multivariate data," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 262-277.
  32. M. Barkhagen & S. García & J. Gondzio & J. Kalcsics & J. Kroeske & S. Sabanis & A. Staal, 2023. "Optimising portfolio diversification and dimensionality," Journal of Global Optimization, Springer, vol. 85(1), pages 185-234, January.
  33. Mendes, Beatriz Vaz de Melo & Arslan, Olcay, 2006. "Multivariate Skew Distributions Based on the GT-Copula," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 26(2), November.
  34. Shahid Latif & Slobodan P. Simonovic, 2023. "Trivariate Probabilistic Assessments of the Compound Flooding Events Using the 3-D Fully Nested Archimedean (FNA) Copula in the Semiparametric Distribution Setting," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 37(4), pages 1641-1693, March.
  35. Sahu, Pritish Kumar & Bal, Debi Prasad & Kundu, Pradip, 2022. "Gold price and exchange rate in pre and during Covid-19 period in India: Modelling dependence using copulas," Resources Policy, Elsevier, vol. 79(C).
  36. N.H. Bingham & John M. Fry & Rüdiger Kiesel, 2010. "Multivariate elliptic processes," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 64(s1), pages 352-366.
  37. Bose, Udichibarna & MacDonald, Ronald & Tsoukas, Serafeim, 2014. "The role of education in equity portfolios during the recent financial crisis," SIRE Discussion Papers 2015-26, Scottish Institute for Research in Economics (SIRE).
  38. Mike So & Alex Tse, 2009. "Dynamic Modeling of Tail Risk: Applications to China, Hong Kong and Other Asian Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(3), pages 183-210, September.
  39. Chabi-Yo, Fousseni & Ruenzi, Stefan & Weigert, Florian, 2018. "Crash Sensitivity and the Cross Section of Expected Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(3), pages 1059-1100, June.
  40. Cerrato, Mario & Crosby, John & Kim, Minjoo & Zhao, Yang, 2015. "US Monetary and Fiscal Policies - Conflict or Cooperation?," SIRE Discussion Papers 2015-78, Scottish Institute for Research in Economics (SIRE).
  41. Dominique Guegan & Matteo Iacopini, 2018. "Nonparametric forecasting of multivariate probability density functions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01821815, HAL.
  42. Negi, Digvijay S., 2018. "Tail-dependent Rainfall Risk and Demand for Index based Crop Insurance," 2018 Annual Meeting, August 5-7, Washington, D.C. 274481, Agricultural and Applied Economics Association.
  43. Michaël Allouche & Mnacho Echenim & Emmanuel Gobet & Anne-Claire Maurice, 2023. "Statistical error bounds for weighted mean and median, with application to robust aggregation of cryptocurrency data," Working Papers hal-04017151, HAL.
  44. Elena Di Bernardino & Didier Rullière, 2016. "On tail dependence coefficients of transformed multivariate Archimedean copulas," Post-Print hal-00992707, HAL.
  45. Fischer, Matthias J. & Dörflinger, Marco, 2006. "A note on a non-parametric tail dependence estimator," Discussion Papers 76/2006, Friedrich-Alexander University Erlangen-Nuremberg, Chair of Statistics and Econometrics.
  46. Jalan, Akanksha & Matkovskyy, Roman & Yarovaya, Larisa, 2021. "“Shiny” crypto assets: A systemic look at gold-backed cryptocurrencies during the COVID-19 pandemic," International Review of Financial Analysis, Elsevier, vol. 78(C).
  47. Yuri Salazar & Wing Ng, 2015. "Nonparametric estimation of general multivariate tail dependence and applications to financial time series," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 24(1), pages 121-158, March.
  48. Zhang, Qingzhao & Li, Deyuan & Wang, Hansheng, 2013. "A note on tail dependence regression," Journal of Multivariate Analysis, Elsevier, vol. 120(C), pages 163-172.
  49. Y Hoga, 2018. "A structural break test for extremal dependence in β-mixing random vectors," Biometrika, Biometrika Trust, vol. 105(3), pages 627-643.
  50. Mohamad Haytham Klaho & Hamid R. Safavi & Mohammad H. Golmohammadi & Maamoun Alkntar, 2022. "Comparison between bivariate and trivariate flood frequency analysis using the Archimedean copula functions, a case study of the Karun River in Iran," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 112(2), pages 1589-1610, June.
  51. Yue Peng & Wing Ng, 2012. "Analysing financial contagion and asymmetric market dependence with volatility indices via copulas," Annals of Finance, Springer, vol. 8(1), pages 49-74, February.
  52. Adlane Haffar & Éric Le Fur, 2022. "Dependence structure of CAT bonds and portfolio diversification: a copula-GARCH approach," Journal of Asset Management, Palgrave Macmillan, vol. 23(4), pages 297-309, July.
  53. Poulomi Ganguli & M. Reddy, 2012. "Risk Assessment of Droughts in Gujarat Using Bivariate Copulas," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 26(11), pages 3301-3327, September.
  54. Shyamalkumar, Nariankadu D. & Tao, Siyang, 2022. "t-copula from the viewpoint of tail dependence matrices," Journal of Multivariate Analysis, Elsevier, vol. 191(C).
  55. Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao, 2015. "Modeling Dependence Structure and Forecasting Market Risk with Dynamic Asymmetric Copula," Working Papers 2015_15, Business School - Economics, University of Glasgow.
  56. Vergni, L. & Todisco, F. & Di Lena, B. & Mannocchi, F., 2020. "Bivariate analysis of drought duration and severity for irrigation planning," Agricultural Water Management, Elsevier, vol. 229(C).
  57. Zhang, Ming-Heng, 2008. "Modelling total tail dependence along diagonals," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 73-80, February.
  58. Tim Bedford & Alireza Daneshkhah & Kevin J. Wilson, 2016. "Approximate Uncertainty Modeling in Risk Analysis with Vine Copulas," Risk Analysis, John Wiley & Sons, vol. 36(4), pages 792-815, April.
  59. Bax, Karoline & Sahin, Özge & Czado, Claudia & Paterlini, Sandra, 2023. "ESG, risk, and (tail) dependence," International Review of Financial Analysis, Elsevier, vol. 87(C).
  60. Víctor M. Adame-García & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, "undated". "Portfolios in the Ibex 35 index: Alternative methods to the traditional framework, a comparative with the naive diversification in a pre- and post- crisis context," Documentos de Trabajo del ICAE 2015-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Jun 2015.
  61. Benjamin Hippert & André Uhde & Sascha Tobias Wengerek, 2019. "Determinants of CDS trading on major banks," Working Papers Dissertations 51, Paderborn University, Faculty of Business Administration and Economics.
  62. Huang, Huichou & MacDonald, Ronald & Zhao, Yang, 2012. "Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs," MPRA Paper 53745, University Library of Munich, Germany, revised 18 Nov 2013.
  63. Marta Ferreira & Helena Ferreira, 2012. "On extremal dependence: some contributions," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(3), pages 566-583, September.
  64. Manner, Hans & Segers, Johan, 2011. "Tails of correlation mixtures of elliptical copulas," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 153-160, January.
  65. Matthieu Garcin & Maxime L. D. Nicolas, 2024. "Nonparametric estimator of the tail dependence coefficient: balancing bias and variance," Statistical Papers, Springer, vol. 65(8), pages 4875-4913, October.
  66. César Garcia-Gomez & Ana Pérez & Mercedes Prieto-Alaiz, 2022. "The evolution of poverty in the EU-28: a further look based on multivariate tail dependence," Working Papers 605, ECINEQ, Society for the Study of Economic Inequality.
  67. Kun Xie & Yanfeng He & Jong-Suk Kim & Sun-Kwon Yoon & Jie Liu & Hua Chen & Jung Hwan Lee & Xiang Zhang & Chong-Yu Xu, 2023. "Assessment of the Joint Impact of Rainfall Characteristics on Urban Flooding and Resilience Using the Copula Method," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 37(4), pages 1765-1784, March.
  68. Echaust, Krzysztof, 2021. "Asymmetric tail dependence between stock market returns and implied volatility," The Journal of Economic Asymmetries, Elsevier, vol. 23(C).
  69. Grobys, Klaus, 2023. "Correlation versus co-fractality: Evidence from foreign-exchange-rate variances," International Review of Financial Analysis, Elsevier, vol. 86(C).
  70. Raza, Hamid & Wu, Weiou, 2018. "Quantile dependence between the stock, bond and foreign exchange markets – Evidence from the UK," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 286-296.
  71. Longxia Qian & Yong Zhao & Jianhong Yang & Hanlin Li & Hongrui Wang & ChengZu Bai, 2022. "A New Estimation Method for Copula Parameters for Multivariate Hydrological Frequency Analysis With Small Sample Sizes," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 36(4), pages 1141-1157, March.
  72. Carsten Bormann & Melanie Schienle, 2020. "Detecting Structural Differences in Tail Dependence of Financial Time Series," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 380-392, April.
  73. Münnix, Michael C. & Schäfer, Rudi, 2011. "A copula approach on the dynamics of statistical dependencies in the US stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4251-4259.
  74. Matthias Pelster & Johannes Vilsmeier, 2018. "The determinants of CDS spreads: evidence from the model space," Review of Derivatives Research, Springer, vol. 21(1), pages 63-118, April.
  75. DiTraglia, Francis J. & Gerlach, Jeffrey R., 2013. "Portfolio selection: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 305-323.
  76. Matthieu Garcin & Maxime L. D. Nicolas, 2021. "Nonparametric estimator of the tail dependence coefficient: balancing bias and variance," Papers 2111.11128, arXiv.org, revised Jul 2023.
  77. Pelster, Matthias & Vilsmeier, Johannes, 2016. "The determinants of CDS spreads: Evidence from the model space," Discussion Papers 43/2016, Deutsche Bundesbank.
  78. L. Vergni & F. Todisco & F. Mannocchi, 2015. "Analysis of agricultural drought characteristics through a two-dimensional copula," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 29(8), pages 2819-2835, June.
  79. Víctor Adame-García & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, 2017. "“Resolution of optimization problems and construction of efficient portfolios: An application to the Euro Stoxx 50 index"," IREA Working Papers 201702, University of Barcelona, Research Institute of Applied Economics, revised Feb 2017.
  80. Dominique Guegan & Matteo Iacopini, 2018. "Nonparametric forecasting of multivariate probability density functions," Post-Print halshs-01821815, HAL.
  81. Dominique Guégan & Matteo Iacopini, 2018. "Nonparameteric forecasting of multivariate probability density functions," Documents de travail du Centre d'Economie de la Sorbonne 18012, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  82. Juan Fernández Sánchez & Manuel Úbeda-Flores, 2014. "Semi-polynomial copulas," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 26(1), pages 129-140, March.
  83. Nelsen, Roger B. & Quesada-Molina, José Juan & Rodri­guez-Lallena, José Antonio & Úbeda-Flores, Manuel, 2008. "On the construction of copulas and quasi-copulas with given diagonal sections," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 473-483, April.
  84. Lamneithem Hangshing & Parmendra P. Dabral, 2018. "Multivariate Frequency Analysis of Meteorological Drought Using Copula," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 32(5), pages 1741-1758, March.
  85. Cerrato, Mario & Crosby, John & Kim, Minjoo & Zhao, Yang, 2014. "Modeling Dependence Structure and Forecasting Portfolio Value-at-Risk with Dynamic Copulas," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-25, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  86. Patton, Andrew, 2013. "Copula Methods for Forecasting Multivariate Time Series," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 899-960, Elsevier.
  87. Bücher, Axel & Jäschke, Stefan & Wied, Dominik, 2015. "Nonparametric tests for constant tail dependence with an application to energy and finance," Journal of Econometrics, Elsevier, vol. 187(1), pages 154-168.
  88. Friedrich Schmid & Rafael Schmidt, 2007. "Nonparametric inference on multivariate versions of Blomqvist’s beta and related measures of tail dependence," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 66(3), pages 323-354, November.
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