Nonlinear Behaviors of Tail Dependence and Cross-Correlation of Financial Time Series Model

Figure 4

Log-log plots of 𝐹_𝑥𝑦(𝑞,𝑠) versus 𝑠 for (a) the real markets and (b), (c) the proposed model with S.data1 and S.data2, respectively.

(a)

(b)

(c)