Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 20 for “"tail dependence"”.
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Understanding extreme behavior by optimizing tail dependence with application to ground level ozone via data mining and spatial modeling
… and multivariate extremes. We then discuss tail dependence parameters and their estimators and introduce γ, a tail dependence metric which is better suited for optimization than other existing metrics. We also introduce the idea of tail dependence estimators that utilize a smooth threshold …
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Applications of Copula Theory and Regime Switching in Finance
There is well-documented evidence that the dependence structure of financial assets is often characterized by considerable time variation. Financial markets are repeatedly subjected to episodes of rapid growth and dramatic decline of asset prices, and the recent financial crisis reinforced the need …
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Empirical applications of price transmission in international agri-food supply chains
… (farmer), producer (processor) and consumer (retailer) prices from nineteen European countries, covering the period 01.2005 to 03.2015, are utilized. The period is split into two sub-periods, before and after the 2008 CAP Health Check (i.e. 01.2005 to 12.2008 and 01.2009 to 03.2015), in order to …
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Essays in Multivariate Modelling in Finance
Modelling the dependence structure of financial variables is of paramount importance for a wide range of financial applications. Financial variables exhibit various forms of dependence and tail dependence whereas the magnitude of dependence is not constant over time but rather time-varying and can …
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Portfolio risk minimization under departures from normality
… Value-at-Risk, and can be tuned to capture tail risk. We formulate the sample shortfall minimization problem as a linear program. Using results from empirical process theory, we derive a central limit theorem for the shortfall portfolio estimator. We warn about the statistical pitfalls of …
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Copulas for High Dimensions: Models, Estimation, Inference, and Applications
… utilizes high frequency data and copulas. The dependence between returns is decomposed into linear and nonlinear components, which enables the use of high frequency data to accurately measure and forecast linear dependence, and the use of a new class of copulas designed to capture nonlinear …
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Statistical Analysis of Response Distribution for Dependent Data via Joint Quantile Regression
… are discussed for modeling response data with tail dependence and/or tail asymmetry. An effective model comparison criterion is provided for selecting between models with different combinations of sets of predictors, marginal base distributions and copula models.</p><p>Extensive simulation …
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Three Essays in Applied Econometrics: with Application to Natural Resource and Energy Markets
… and Smith (1990) to investigate the univariate tail distribution of the returns on various energy products such as Crude Oil, Gasoline, Heating Oil, Propane and Diesel. The bivariate threshold exceedance model of Ledford and Tawn (1996) is also used to study the tail dependence between returns …
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Essays on measuring systemic risk
… at Risk measure to capture the evolution of tail risk dependence. Specifically, Chapter 3 investigates the systemic risk between the US and European Monetary Union banking institutions. The results highlight that the two largest German banking institutions are among the most vulnerable euro …
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Another Look at Stock Return Comovement: Some New Evidence and Test
… when states are ignored. I find that asymmetric tail dependence becomes much less significant when considered state by state. A list of related tests is given as an extension at the end.
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Market Dynamics in the Financial Industry - Essays on Interdependence and Market Timing
… market dynamics addressed in this thesis is the dependence structure of financial markets. The connectedness of the banking and sovereign sectors is dynamically assessed on the basis of daily CDS spreads using complex networks. We turn away from the traditional linear correlation measures and use …
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A copula approach to sample selection modeling of treatment adherence and viral suppression among HIV patients on antiretroviral therapy (ART) in Namibia
… on ART in Namibia, to examine the presence of tail dependence in sample selection bias, and investigate the factors associated with viral suppression, viral load and ART adherence. The study used two datasets; HIV data of patients, aged above 16 years, on antiretroviral therapy in Erongo region …
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Essays on Quantitative Risk Management
… Subsequently we move to the key concept of dependence by investigating the importance of dynamic linkages between credit and equity markets. We propose a flexible regime-switching copula model to explore the dynamics of dependence and possible structure breaks with special consideration on …
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Pricing Basket of Credit Default Swaps and Collateralised Debt Obligation by Lévy Linearly Correlated, Stochastically Correlated, and Randomly Loaded Factor Copula Models and Evaluated by the Fast and Very Fast Fourier Transform
… important drawbacks is that it has a lack of tail dependence or, in other words, it needs more skewed correlation. However, by the Lévy Factor Copula Model, the microscopic approach of exploring this factor copula models has been developed and standardised to incorporate an endless number of …
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Various Financial Aspects of Cryptocurrencies
… The last chapter is focused on analyzing the tail dependencies between cryptocurrencies. This analysis helps in understanding the possibility of spillovers between cryptocurrencies during extreme events. Notably, a majority of cryptocurrencies start with a low chance of spillovers, but the …
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Bond yield modelling and its application in the European Union
… events and takes sovereign debt movement dependence, especially tail dependence, into consideration. Results indicate that Italy and Spain are the most likely next victims of the sovereign debt crisis, followed by Ireland, France and Belgium. The UK, Sweden and Denmark, which are outside …
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Drought predictions: applications in Australia.
… which is a versatile means of modelling their dependence structure. Copulas are multivariate uniform distributions, which allow the joint behaviour of variables to be modelled independently from their marginal distributions. This research extends the application of copulas by investigating the …
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Transformed-linear models for time series extremes
In order to capture the dependence in the upper tail of a time series, we develop nonnegative regularly-varying time series models that are constructed similarly to classical non-extreme ARMA models. Rather than fully characterizing tail dependence of the time series, we define the concept of weak …
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Three essays on financial markets
… crude oil or other refined products. Because the dependence between jet fuel and its hedging instrument is time-varying, airlines' cross hedging problem needs a dynamic solution. This essay estimates timevarying optimal cross hedge ratios using dynamic copula based GARCH models. Estimation results …
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Statistical modelling of the association between dietary diversity, dietary patterns and non-communicable diseases in Namibia
… model is that it does not allow for a different dependence structure between the outcomes while the frank copula does not have tail dependence and it can model both positive and negative dependencies as the normal copula. SEM and PCA’s were used as data reduction methods. Lastly, the study …