# Questions tagged [dependence]

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### Applications of distance correlation

This question mentions distance correlation. Where has this concept been applied to financial data and provided new insight? Do you know any examples or references?
67 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" ...
96 views

### Alternatives to Elliptical and Archimedean copulas for modelling dependency structure between stocks

Except from the well-know and well-documented Elliptical (i.e. Gaussian, Student-t) and Archimedean (i.e. Frank, Clayton, Gumbel) copulas used to model the dependency structure between stock returns, ...
131 views

### Estimating time-varying tail dependence for Archimedean copulas

Patton (2006) defines the upper tail dependence coefficient for a time-varying bivariate SJC copula as \tau^u_t=\Lambda \left(\omega_u + \beta_u \tau^u_{t-1}+\alpha_u \frac{1}{10}\sum^{10}_{i=1}|u_{...
42 views

### Hierarchical copula vs. vine copula

Vine copulas are a sequential cascade of bivariate copulas meant to capture the hierarchical structure in the dependence structure of random variables. How does this relate or differ from the concept ...
39 views

### Patton Copula model code and significance of parameters

I am trying to implement a copula model using the Patton (2006) Matlab code. I am unable to determine the significance of the parameters. Does anyone know how i can generate the standard errors from ...
7 views

### What would be the determinants for Receivable turnover?

Petersen,1997, page 673 listed some determinants of account receivables as the Table below: The dependent variable, in this Table, is account receivable/sales, which is the reversion of receivable ...
### Does the $t$-copula or Clayton copula capture the dependence structure of empirical returns better?
Which copula captures the dependence structure of empirical asset returns better? the $t$-copula, which has symmetric tail dependence, or the Clayton copula, which has asymmetric tail dependence, and ...