Extreme return-volume relationship in cryptocurrencies: Tail dependence analysis

Tail-dependence in stock-return pairs

The empirical joint distribution of return-pairs on stock indices displays high tail-dependence in the lower tail and low tail-dependence in the upper tail. The presence of tail-dependence is not compatible with the assumption of (conditional) joint normality. The presence of asymmetric-tail dependence is not compatible with the assumption of a joint student -t distribution. A general test for ...

Orthant tail dependence of multivariate extreme value distributions

AMS 2000 subject classifications: 62H20 62P05 Keywords: Tail dependence Heavy tails Copula Multivariate extreme value distribution Marshall–Olkin distribution Archimedean copula Contagion risk a b s t r a c t The orthant tail dependence describes the relative deviation of upper-(or lower-) orthant tail probabilities of a random vector from similar orthant tail probabilities of a subset of its c...

Applications of Tail Dependence I: Interpolating Extreme Air Pollution Levels

Long Memory and Tail dependence in Trading Volume and Volatility

This paper investigates long-run dependencies of volatility and volume, supposing that are driven by the same informative process. Log-realized volatility and log-volume are characterized by upper and lower tail dependence, where the positive tail dependence is mainly due to the jump component. The possibility that volume and volatility are driven by a common fractionally integrated stochastic ...

A simple graphical method to explore tail-dependence in stock-return pairs

For a bivariate data set the dependence structure can not only be measured globally, for example with the Bravais-Pearson correlation coefficient, but the dependence structure can also be analyzed locally. In this article the exploration of dependencies in the tails of the bivariate distribution is discussed. For this a graphical method which is called chi-plot and which was introduced by Fishe...