arXiv subjects

Gregor Weiß

Publications and source records attributed to Gregor Weiß.

2 recordsLinked to original sources

arXiv2022

Comparing and quantifying tail dependence

We introduce a new stochastic order for the tail dependence between random variables. We then study different measures of tail dependence which are monotone in the proposed order, thereby extending various known tail dependence coefficients from the literature. We apply our concepts in an empirical study where we investigate the tail dependence for different pairs of S&P 500 stocks and indices, and illustrate the advantage of our measures of tail dependence over the classical tail dependence coefficient.

q-fin.RM↗

arXiv2012

Smooth Nonparametric Bernstein Vine Copulas

We propose to use nonparametric Bernstein copulas as bivariate pair-copulas in high-dimensional vine models. The resulting smooth and nonparametric vine copulas completely obviate the error-prone need for choosing the pair-copulas from parametric copula families. By means of a simulation study and an empirical analysis of financial market data, we show that our proposed smooth nonparametric vine copula model is superior to competing parametric vine models calibrated via Akaike's Information Criterion.

q-fin.RM↗