A new tail dependence measure for linear processes with regularly varying distributions is introduced, incorporating persistence effects and validated via simulations and cryptocurrency data analysis.
ASTIN Bulletin: The Journal of the IAA , volume=
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
math.ST 1years
2026 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
Measuring Tail Dependence in Linear Processes: Theory and Empirics
A new tail dependence measure for linear processes with regularly varying distributions is introduced, incorporating persistence effects and validated via simulations and cryptocurrency data analysis.