The dependence tag has no wiki summary.
3
votes
0answers
40 views
Credit spreads vs default events dependence
Reading this note it strikes me that credit spreads and defaults seem not to be commonly modeled jointly (e.g. more or less directly in structural models), but at best with some kind of "ex post" ...
3
votes
1answer
77 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
153 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
185 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 ...
