Hua, Lei - In: Risks : open access journal 11 (2023) 11, pp. 1-17
In this research, we employ a full-range tail dependence copula to capture the intraday dynamic tail dependence …-off and a rally thereafter. We also introduce a model-based unified tail dependence measure to directly model and compare … various tail dependence patterns. Using regression analysis of the upper and lower tail dependence simultaneously, we have …