Multiscale Quantile Correlation Coefficient: Measuring Tail Dependence of Financial Time Series
In the context of the frequent occurrence of extreme events, measuring the tail dependence of financial time series is essential for maintaining the sustainable development of financial markets. In this paper, a multiscale quantile correlation coefficient (MQCC) is proposed to measure the tail depen...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-06-01
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| Series: | Sustainability |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2071-1050/12/12/4908 |