ASYMMETRIC TAIL DEPENDENCE MODELING, WITH APPLICATION TO CRYPTOCURRENCY MARKET DATA

Mathematics

• Asymmetric 100%
• Asymptotics 100%
• Bitcoin 66%
• Censored Likelihood 33%
• Censoring Scheme 33%
• Copula 100%
• Extremal 66%
• Likelihood Approach 66%
• Parameter Space 33%
• Stochastic Behavior 33%

Keyphrases

• Asymmetric Tail Dependence 100%
• Closing Price 25%
• Cryptocurrency Market 100%
• Dependence Levels 50%
• Dependence Modeling 100%
• Fication 25%
• Local Likelihood 25%
• Lower Tail Dependence 25%
• Risk Types 25%
• Short Position 25%
• Stabil 25%

Economics, Econometrics and Finance

• Bitcoin 50%
• Copula 75%
• Cryptocurrency 100%
• Cryptocurrency Markets 100%
• Investors 25%