Showing 1 - 10 of 426
income and wealth inequality in five OECD countries using comparable household-level survey data. We focus on the dependence … social inequality than the traditional 'income only' approach. We find that cross-country variations in the dependence … parameter effectively accounts only for a small fraction of cross-country differences in a bivariate measure of inequality. The …
Persistent link: https://www.econbiz.de/10011307414
income and wealth inequality in five OECD countries using comparable household-level survey data. We focus on the dependence … social inequality than the traditional 'income only' approach. We find that cross-country variations in the dependence … parameter effectively accounts only for a small fraction of cross-country differences in a bivariate measure of inequality. The …
Persistent link: https://www.econbiz.de/10011295514
Persistent link: https://www.econbiz.de/10013171407
copula. The copula used is such that it allows for the presence of lower tail-dependence and for asymmetric taildependence …, and that it encompasses the normal or t-copula. The model is estimated using bivariate data on a set of European stock …
Persistent link: https://www.econbiz.de/10010292792
of symmetric (Gaussian copula) or asymmetric (Clayton copula) type. Finally, using 13 EU and US assets, we implement the …
Persistent link: https://www.econbiz.de/10010293995
dependence. It includes the Spearman copula and a specific Fréchet copula as special cases. Some properties and a generalized …
Persistent link: https://www.econbiz.de/10010299766
that, this tail dependence estimator also results from a specific copula mixture. …
Persistent link: https://www.econbiz.de/10010299786
We will identify sufficient and partly necessary conditions for a family of copulas to be closed under the construction of generalized linear mean values. These families of copulas generalize results well-known from the literature for the Farlie-Gumbel-Morgenstern (FGM), the Ali-Mikhai-Haq (AMH)...
Persistent link: https://www.econbiz.de/10010303831
We will identify sufficient and partly necessary conditions for a family of copulas to be closed under the construction of generalized linear mean values. These families of copulas generalize results well-known from the literature for the Farlie-Gumbel-Morgenstern (FGM), the Ali-Mikhai-Haq (AMH)...
Persistent link: https://www.econbiz.de/10010304299
Zhang (2008) defines the quotient correlation coefficient to test for dependence and tail dependence of bivariate random samples. He shows that asymptotically the test statistics are gamma distributed. Therefore, he called the corresponding test gamma test. We want to investigate the speed of...
Persistent link: https://www.econbiz.de/10010307488