In probability theory, the tail dependence of a pair of random variables is a measure of their comovements in the tails of the distributions. The concept is used in extreme value theory. Random variables that appear to exhibit no correlation can show tail dependence in extreme deviations. For instance, it is a stylized fact of stock returns that they commonly exhibit tail dependence.[1]
^Hartmann, Philip; Straetmans, Stefan T.M.; De Vries, Casper G. (2004). "Asset Market Linkages in Crisis Periods". Review of Economics and Statistics. 86 (1): 313–326. doi:10.1162/003465304323023831. hdl:10419/152505. S2CID 56001186.
In probability theory, the taildependence of a pair of random variables is a measure of their comovements in the tails of the distributions. The concept...
In statistics, correlation or dependence is any statistical relationship, whether causal or not, between two random variables or bivariate data. Although...
(probability theory) Taildependence, from probability theory Serial dependence, in statistics Correlation and dependence Mean dependence Codependence, a pattern...
exposure to tail risk, forecasts of asset returns using Monte-Carlo simulation with vine copulas to allow for lower (left) taildependence (e.g., Clayton...
de Carvalho, M. (2013). "A Euclidean likelihood estimator for bivariate taildependence" (PDF). Communications in Statistics – Theory and Methods. 42 (7):...
criticisms of the copula approach: (a) taildependence, (b) calibration, (c) risk management. (a) Taildependence In a crisis, financial correlations typically...
Polyadenylation is the addition of a poly(A) tail to an RNA transcript, typically a messenger RNA (mRNA). The poly(A) tail consists of multiple adenosine monophosphates;...
Clayton copula is used, the greater the degree of asymmetric (i.e., left tail) dependence, the higher the Clayton copula parameter. Therefore, one can sum up...
diarrhea, trouble sleeping, agitation, and a low mood. Addiction and dependence are important components of opioid use disorder. Risk factors include...
photoemission experiments delivered absorption models revealing temperature dependence of the tail. A variety of amorphous crystalline solids expose exponential band...
indicates that the tail is on the left side of the distribution, and positive skew indicates that the tail is on the right. In cases where one tail is long but...
and ES, or optimizing portfolios to minimize tail risk, it is important to account for asymmetric dependence and non-normalities in the distribution of...
Guadeloupe's energy mix from 20.5% to 35%, thereby mitigating the island's dependence on fossil fuels and reducing acidic air pollution and the production of...
evolution is strongly based on co-operation, interaction, and mutual dependence among organisms. According to Margulis and her son Dorion Sagan, "Life...
estimating dependence. This is handy in as much as univariate distributions in many cases can be adequately estimated from data, whereas dependence information...
temperature, thermal tolerance and thermal dependence of food assimilation and locomotor performance in adult blue-tailed skinks, Eumeces elegans. WG Du, SJ Yan...
Bombus lucorum, the white-tailed bumblebee, is a species of bumblebee, widespread and common throughout Europe. This name has been widely used for a range...
is only by 2 carbon atoms and the separation with tail to tail configuration is by 4 atoms. Head/tail configurations are not part of polymer tacticity...
Greenland shark is sluggish and slow-moving, with the lowest swim speed and tail-beat frequency for its size across all fish species, which most likely correlates...
cups of coffee per day or less. Caffeine can produce a mild form of drug dependence – associated with withdrawal symptoms such as sleepiness, headache, and...
demountable container handlers, forestry cranes, truck-mounted forklifts and tail lifts. The company is owned by the Cargotec Corporation. The name, Hiab,...
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