Tagged Questions

3
votes
1answer
78 views

Is there a copula that can estimate negative tail dependence?

I have encountered numerous copula estimators that can estimate time-invariant and time-varying linear and non-linear correlations on the interval $[-1,1]$, and these estimators are fully consistent ...
5
votes
0answers
155 views

Alternative ways to understand time-varying comovement between two time-series?

I have been looking into ways to better understand how the dependencies/correlations/etc between two time series can vary over time. I first thought about using a Kalman/particle filter over a ...
4
votes
2answers
189 views

Most natural generalization of covariance/correlation to model dependence of extreme events

One of the most serious shortcomings of covariance/correlation are the assumptions of linearity and normality. What is the most natural generalization of these measures of dependence when you want to ...