Article
Biology
Ornella C. Bertrand, Hans P. Puschel, Julia A. Schwab, Mary T. Silcox, Stephen L. Brusatte
Summary: The research indicates that body mass and phylogeny are correlated with brain size in rodents, while locomotion type influences the size of the brain, petrosal lobules, and neocortex. Species living in trees tend to have larger overall brain, petrosal lobule, and neocortical sizes compared to fossorial taxa.
COMMUNICATIONS BIOLOGY
(2021)
Article
Statistics & Probability
Bojan Basrak, Darko Brborovic
Summary: We propose and analyze a permutation test for assessing the tail dependence between two random variables with known marginal distributions. We justify the test by showing that the proposed test statistics and their permutation distribution converge to the normal distribution. The analysis is motivated by the recent findings of DiCiccio and Romano (J Am Stat Assoc 112(519):1211-1220, 2017) on permutation tests for correlation.
STATISTICAL METHODS AND APPLICATIONS
(2023)
Article
Business, Finance
Mariano Gonzalez-Sanchez, Juan M. Nave Pineda
Summary: This study proposes a methodology for estimating market risk based on the decomposition of series into positive outliers, Gaussian central part, and negative outliers. It uses the negative outliers to estimate the cutoff point and the extreme dependence correlation matrix for measuring portfolio risk. Empirical results on a sample consisting of six assets (Bitcoin, Gold, Brent, Standard&Poor-500, Nasdaq, and Real Estate index) show that this methodology outperforms the Kolmogorov-Smirnov distance in terms of normality and volatility of the tail index, with lower capital consumption. It also improves risk measurement compared to the t-Student copula and allows for estimating extreme dependence and corresponding indexes without the implicit restrictions of elliptic and Archimedean copulas.
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
(2023)
Article
Engineering, Environmental
Andras Bardossy
Summary: Dependencies between variables can be complex and may differ for high and low values. Using the normal copula to describe dependencies may not be appropriate due to the asymmetry of the normal distribution for high values. This study presents a new method for defining high dimensional multivariate distributions with changing correlations and tail dependence. Examples using linear changing correlations are provided, and parameter estimation methods and simulation procedures are discussed.
STOCHASTIC ENVIRONMENTAL RESEARCH AND RISK ASSESSMENT
(2023)
Article
Biochemistry & Molecular Biology
Nazli Turan Yucel, Ummuhan Kandemir, Umide Demir Ozkay, Ozgur Devrim Can
Summary: Vortioxetine, a multimodal antidepressant drug, exhibits analgesic effects by affecting central pathways carrying acute thermal and mechanical nociceptive stimuli, mediated by 5-HT1A serotonergic, alpha-adrenergic, and opioidergic receptors. The contributions of central serotonergic and catecholaminergic neurotransmissions are critical for this analgesic effect.
Article
Business, Finance
Zehra Atik, Bulent Guloglu, Necla Ilter Kucukcolak
Summary: This study examines the relationship between the US and Turkish agricultural commodity markets using tail dependence analysis. The findings suggest that the US agricultural market has an impact on the Turkish agricultural market. The study recommends the launch of an agricultural commodity futures market in Turkey to enhance the link between the spot and derivatives markets.
BORSA ISTANBUL REVIEW
(2023)
Article
Environmental Studies
Satish Kumar, Aviral Kumar Tiwari, Ibrahim Dolapo Raheem, Erik Hille
Summary: The study found that during a crisis, the collapse of oil and agricultural markets often occurs simultaneously, but not in normal economic conditions. The return chasing effect dominates in most cases, and there is significant risk spillover from oil markets to agricultural markets, especially around financial crises.
Article
Statistics & Probability
Nariankadu Shyamalkumar, Siyang Tao
Summary: This paper discusses the application of the tail dependence coefficient and tail dependence matrix in multivariate tail dependence measurement, with a particular focus on the geometric properties of the t-copula family and its effectiveness in modeling tail dependence.
JOURNAL OF MULTIVARIATE ANALYSIS
(2022)
Article
Business, Finance
Yongkil Ahn
Summary: This paper investigates the extreme tail dependence between cryptocurrencies and the S&P 500 index using a model-free approach. The study finds that symmetric models fail to explain the correlation structure in cryptocurrency returns, and there is a greater downward tail correlation between cryptocurrencies and the equity market. This suggests that cryptocurrencies as an asset class have significant disadvantages, especially during market downturns.
FINANCE RESEARCH LETTERS
(2022)
Article
Computer Science, Interdisciplinary Applications
Xiaoting Li, Harry Joe
Summary: This paper introduces three methods for estimating multivariate tail quantities, including multivariate tail probabilities, tail dependence functions, and tail quantile sets. These methods are based on weak assumptions on the joint tails of the copulas of the d variables. The first method is developed based on the tail expansion of copula in different directions to the joint upper or lower orthant. The latter two methods are based on the asymptotic expansion of a family of tail-weighted functions defined from the copula. Extensive simulation experiments are conducted to evaluate and compare the three methods under different scenarios. The simulation results show that the methods yield accurate estimates of the tail quantities and effectively distinguish the tail properties, such as reflection asymmetry, permutation asymmetry, and heterogeneous tail dependence. One data example is presented to illustrate the applicability of the proposed methods as inference and diagnostic tools.
COMPUTATIONAL STATISTICS & DATA ANALYSIS
(2023)
Article
Business, Finance
Amine Lahiani, Ahmed Jeribi, Nabila Boukef Jlassi
Summary: The study revealed the leading role of S&P500, Nasdaq, and DAX 30 in predicting stock market returns of BRICS and developed countries, with BVSP playing an important role among BRICS countries. Ethereum is found to be the main predictor of cryptocurrencies and stock market returns, followed by Bitcoin.
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE
(2021)
Article
Economics
Yannick Hoga
Summary: This study proposes a specification test for conditional location-scale models based on extremal dependence properties. The test statistics are easy to compute and perform well in simulations.
JOURNAL OF BUSINESS & ECONOMIC STATISTICS
(2023)
Article
Business, Finance
Evarist Stoja, Arnold Polanski, Linh H. Nguyen, Aleksandr Pereverzin
Summary: In this study, the impact of systematic tail risk on expected returns on risky assets is examined from two perspectives. The findings suggest that systematic tail risk can be approximated by a generalized tail dependence coefficient and is compensated with a significant premium. However, when measured by the product of the same coefficient with a normalized tail risk measure, no premium is observed. The study also explores the possibility that the components of the second systematic tail risk measure may share common features, which could explain the contradictory evidence in the literature.
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY
(2023)
Article
Business, Finance
Jin-Huei Yeh, Mu-Shu Yun
Summary: This paper investigates the empirical relationship between cojumps and tail dependence in financial asset prices. Using a simple approach based on realized measures of variation, the authors identify jumps and cojumps in asset prices and test their contributions to price variations. The study finds asymmetries in frequencies and magnitudes of downward and upward abrupt comovements. Surprisingly, covolatility, rather than cojumps, contributes to observed extreme tail dependence in the S&P 500 index. However, in the Taiwanese TAIEX futures and spot indices, cojumps are found to trigger marginal jumps and contribute to extreme returns.
PACIFIC-BASIN FINANCE JOURNAL
(2023)
Article
Business, Finance
Karoline Bax, Ozge Sahin, Claudia Czado, Sandra Paterlini
Summary: This paper questions whether ESG scores can provide information on a company's riskiness. By analyzing the (tail) dependence structure of companies with different ESG scores using high-dimensional vine copula modeling, it is shown that risk can depend on and be directly associated with a specific ESG rating class. Empirical findings on real-world data reveal positive and non-negligible ESG risks determined by ESG scores, especially during the 2008 crisis.
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
(2023)