Related papers: Measuring Tail Dependence in Linear Processes: The…

A new class of copulas, termed the MGL copula class, is introduced. The new copula originates from extracting the dependence function of the multivariate generalized log-Moyal-gamma distribution whose marginals follow the univariate…

Longitudinal and survival sub-models are two building blocks for joint modelling of longitudinal and time to event data. Extensive research indicates separate analysis of these two processes could result in biased outputs due to their…

We study a new measure of codependency in the second moment of a continuous-time multivariate asset price process, which we name the realized copula of volatility. The statistic is based on local volatility estimates constructed from…

In this paper, we study dependence uncertainty and the resulting effects on tail risk measures, which play a fundamental role in modern risk management. We introduce the notion of a regular dependence measure, defined on multi-marginal…

We propose an approach to compute the conditional moments of fat-tailed phenomena that, only looking at data, could be mistakenly considered as having infinite mean. This type of problems manifests itself when a random variable Y has a…

Correlation and spectral analysis represent the standard tools to study interdependence in statistical data. However, for the stochastic processes with heavy-tailed distributions such that the variance diverges, these tools are inadequate.…

Transition-related financial markets are increasingly exposed to abrupt repricing episodes, elevated volatility, and heterogeneous macro-financial shocks. Under such conditions, conventional Gaussian-linear forecasting frameworks may…

We propose a copula-based measure of asymmetry between the lower and upper tail probabilities of bivariate distributions. The proposed measure has a simple form and possesses some desirable properties as a measure of asymmetry. The limit of…

We study the limiting behavior of continuous time trawl processes which are defined using an infinitely divisible random measure of a time dependent set. In this way one is able to define separately the marginal distribution and the…

We propose a stochastic process driven by memory effect with novel distributions including both exponential and leptokurtic heavy-tailed distributions. A class of distribution is analytically derived from the continuum limit of the discrete…

We study the long-time behavior of the scaled walker (particle) position associated with decoupled continuous-time random walk which is characterized by superheavy-tailed distribution of waiting times and asymmetric heavy-tailed…

Several collective risk models have recently been proposed by relaxing the widely used but controversial assumption of independence between claim frequency and severity. Approaches include the bivariate copula model, random effect model,…

This paper introduces a class of copula models for spatial data, based on multivariate Pareto-mixture distributions. We explore the tail properties of these models, demonstrating their ability to capture both tail dependence and asymptotic…

Despite the successes of probabilistic models based on passing noise through neural networks, recent work has identified that such methods often fail to capture tail behavior accurately, unless the tails of the base distribution are…

Heavy-tailed distributions are found throughout many naturally occurring phenomena. We have reviewed the models of stochastic dynamics that lead to heavy-tailed distributions (and power law distributions, in particular) including the…

This article discusses modelling of the tail of a multivariate distribution function by means of a large deviation principle (LDP), and its application to the estimation of the probability of a multivariate extreme event from a sample of n…

Accurately capturing interlayer dependence is essential for understanding the structure of complex multilayer networks. We propose an upper tail dependence estimator specifically designed for multilayer networks, leveraging multilayer…

Economic and financial crises are characterised by unusually large events. These tail events co-move because of linear and/or nonlinear dependencies. We introduce TailCoR, a metric that combines (and disentangles) these linear and…

Heavy-tailed distributions are frequently used to enhance the robustness of regression and classification methods to outliers in output space. Often, however, we are confronted with "outliers" in input space, which are isolated observations…

Dependence modeling of multivariate count data has garnered significant attention in recent years. Multivariate elliptical copulas are typically preferred in statistical literature to analyze dependence between repeated measurements of…