3 papers
stat.AP2019
Measuring systemic risk and contagion in the European financial network
Laleh Tafakori, Armin Pourkhanali, Riccardo Rastelli
This paper introduces a novel framework to study default dependence and systemic risk in a financial network that evolves over time. We analyse several indicators of risk, and deve…
math.ST2018
Distance covariance for discretized stochastic processes
Herold Dehling, Muneya Matsui, Thomas Mikosch +2
Given an iid sequence of pairs of stochastic processes on the unit interval we construct a measure of independence for the components of the pairs. We define distance covariance an…
stat.ME2017
An estimator of the stable tail dependence function based on the empirical beta copula
Anna Kiriliouk, Johan Segers, Laleh Tafakori
The replacement of indicator functions by integrated beta kernels in the definition of the empirical stable tail dependence function is shown to produce a smoothed version of the l…