Tail dependence
id:
tail-dependence-242-11512141
title:
Tail dependence
text:
In probability theory, the tail dependence of a pair of random variables is a measure of their comovements in the tails of the distributions. The concept is used in extreme value theory. Random variables that appear to exhibit no correlation can show tail dependence in extreme deviations. For instance, it is a stylized fact of stock returns that they commonly exhibit tail dependence.
brand slug:
wiki
category slug:
encyclopedia
description:
original url:
https://en.wikipedia.org/wiki/Tail_dependence
date created:
date modified:
2024-01-15T08:59:28Z
main entity:
{"identifier":"Q16991115","url":"https://www.wikidata.org/entity/Q16991115"}
image:
fields total:
13
integrity:
13