2 papers
stat.ME2024
Measuring and testing tail equivalence
Takaaki Koike, Shogo Kato, Toshinao Yoshiba
We call two copulas tail equivalent if their first-order approximations in the tail coincide. As a special case, a copula is called tail symmetric if it is tail equivalent to the a…
q-fin.RM2024
Tail risk forecasting with semi-parametric regression models by incorporating overnight information
Cathy W. S. Chen, Takaaki Koike, Wei-Hsuan Shau
This research incorporates realized volatility and overnight information into risk models, wherein the overnight return often contributes significantly to the total return volatili…