FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2124413110> ?p ?o ?g. }

• W2124413110 abstract "In financial practice, it is important to understand the dependence structure between the returns of individual assets and the market index. This particularly true under extreme situations. Theoretically, this amounts to regress the dependence relationship against a set of pre-specified predictive variables. To this end, we propose here a novel method called tail dependence regression. It assumes a tail dependence index model between individual assets and market index. Subsequently, such a tail dependence index is modeled as a linear combination of the predictors through a monotonic transformation. An approximate maximum likelihood method is then developed to estimate the unknown regression coefficients. The resulting estimator’s asymptotic properties are investigated theoretically. Numerical studies including both simulated and real datasets are presented for illustration purpose." @default.
• W2124413110 created "2016-06-24" @default.
• W2124413110 creator A5029780322 @default.
• W2124413110 creator A5048394694 @default.
• W2124413110 creator A5065900832 @default.
• W2124413110 date "2013-01-01" @default.
• W2124413110 modified "2023-10-01" @default.
• W2124413110 title "A Note on Tail Dependence Regression" @default.
• W2124413110 cites W134514108 @default.
• W2124413110 cites W1498464051 @default.
• W2124413110 cites W1542184596 @default.
• W2124413110 cites W1820206506 @default.
• W2124413110 cites W1963938936 @default.
• W2124413110 cites W1976171518 @default.
• W2124413110 cites W1983608423 @default.
• W2124413110 cites W1984522550 @default.
• W2124413110 cites W1986020272 @default.
• W2124413110 cites W1989333061 @default.
• W2124413110 cites W1995878269 @default.
• W2124413110 cites W2006832191 @default.
• W2124413110 cites W2045790273 @default.
• W2124413110 cites W2057981600 @default.
• W2124413110 cites W2058959119 @default.
• W2124413110 cites W2062136032 @default.
• W2124413110 cites W2067074025 @default.
• W2124413110 cites W2074682976 @default.
• W2124413110 cites W211706866 @default.
• W2124413110 cites W2133054323 @default.
• W2124413110 cites W2136717718 @default.
• W2124413110 cites W2137922946 @default.
• W2124413110 cites W2140951602 @default.
• W2124413110 cites W411746464 @default.
• W2124413110 cites W3149559051 @default.
• W2124413110 doi "https://doi.org/10.2139/ssrn.2271415" @default.
• W2124413110 hasPublicationYear "2013" @default.
• W2124413110 type Work @default.
• W2124413110 sameAs 2124413110 @default.
• W2124413110 citedByCount "0" @default.
• W2124413110 crossrefType "journal-article" @default.
• W2124413110 hasAuthorship W2124413110A5029780322 @default.
• W2124413110 hasAuthorship W2124413110A5048394694 @default.
• W2124413110 hasAuthorship W2124413110A5065900832 @default.
• W2124413110 hasConcept C104317684 @default.
• W2124413110 hasConcept C105795698 @default.
• W2124413110 hasConcept C121332964 @default.
• W2124413110 hasConcept C121864883 @default.
• W2124413110 hasConcept C134306372 @default.
• W2124413110 hasConcept C136764020 @default.
• W2124413110 hasConcept C149782125 @default.
• W2124413110 hasConcept C152877465 @default.
• W2124413110 hasConcept C161584116 @default.
• W2124413110 hasConcept C162324750 @default.
• W2124413110 hasConcept C177264268 @default.
• W2124413110 hasConcept C185429906 @default.
• W2124413110 hasConcept C185592680 @default.
• W2124413110 hasConcept C199360897 @default.
• W2124413110 hasConcept C204241405 @default.
• W2124413110 hasConcept C2777382242 @default.
• W2124413110 hasConcept C2777606061 @default.
• W2124413110 hasConcept C33923547 @default.
• W2124413110 hasConcept C41008148 @default.
• W2124413110 hasConcept C48921125 @default.
• W2124413110 hasConcept C55493867 @default.
• W2124413110 hasConcept C72169020 @default.
• W2124413110 hasConcept C83546350 @default.
• W2124413110 hasConceptScore W2124413110C104317684 @default.
• W2124413110 hasConceptScore W2124413110C105795698 @default.
• W2124413110 hasConceptScore W2124413110C121332964 @default.
• W2124413110 hasConceptScore W2124413110C121864883 @default.
• W2124413110 hasConceptScore W2124413110C134306372 @default.
• W2124413110 hasConceptScore W2124413110C136764020 @default.
• W2124413110 hasConceptScore W2124413110C149782125 @default.
• W2124413110 hasConceptScore W2124413110C152877465 @default.
• W2124413110 hasConceptScore W2124413110C161584116 @default.
• W2124413110 hasConceptScore W2124413110C162324750 @default.
• W2124413110 hasConceptScore W2124413110C177264268 @default.
• W2124413110 hasConceptScore W2124413110C185429906 @default.
• W2124413110 hasConceptScore W2124413110C185592680 @default.
• W2124413110 hasConceptScore W2124413110C199360897 @default.
• W2124413110 hasConceptScore W2124413110C204241405 @default.
• W2124413110 hasConceptScore W2124413110C2777382242 @default.
• W2124413110 hasConceptScore W2124413110C2777606061 @default.
• W2124413110 hasConceptScore W2124413110C33923547 @default.
• W2124413110 hasConceptScore W2124413110C41008148 @default.
• W2124413110 hasConceptScore W2124413110C48921125 @default.
• W2124413110 hasConceptScore W2124413110C55493867 @default.
• W2124413110 hasConceptScore W2124413110C72169020 @default.
• W2124413110 hasConceptScore W2124413110C83546350 @default.
• W2124413110 hasLocation W21244131101 @default.
• W2124413110 hasOpenAccess W2124413110 @default.
• W2124413110 hasPrimaryLocation W21244131101 @default.
• W2124413110 hasRelatedWork W1517614401 @default.
• W2124413110 hasRelatedWork W1738595936 @default.
• W2124413110 hasRelatedWork W1891233650 @default.
• W2124413110 hasRelatedWork W1998636185 @default.
• W2124413110 hasRelatedWork W2214741050 @default.
• W2124413110 hasRelatedWork W2471288921 @default.
• W2124413110 hasRelatedWork W2546543361 @default.
• W2124413110 hasRelatedWork W2786734263 @default.
• W2124413110 hasRelatedWork W2963634654 @default.

• next