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Quantile correlation coefficient: a new tail dependence measure
Ji Eun Choi,
Dong Wan Shin
Department of Statistics
Research output
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Contribution to journal
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Article
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peer-review
2
Scopus citations
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Dive into the research topics of 'Quantile correlation coefficient: a new tail dependence measure'. Together they form a unique fingerprint.
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Mathematics
Tail Dependence
100%
Correlation coefficient
78%
Quantile
72%
Pearson Correlation
34%
Tail
32%
Stock Returns
18%
Conditional Quantiles
15%
Quantile Regression
14%
Geometric mean
14%
Monte Carlo Study
13%
Null Distribution
13%
Regression Coefficient
12%
Asymptotic Normality
11%
Interpretation
8%
Random variable
8%
Business & Economics
Tail Dependence
95%
Correlation Coefficient
77%
Quantile
75%
Quantile Regression
19%
Conditional Quantiles
14%
Pearson Correlation Coefficient
14%
Geometric Mean
13%
Asymptotic Normality
13%
Regression Coefficient
12%
Monte Carlo Study
12%
Random Variables
10%
Stock Returns
8%