Tail dependence for regularly varying time series (Q1954603)

Summary: We use tail dependence functions to study tail dependence for regularly varying (RV) time series. First, tail dependence functions of RV time series are derived through the intensity measure. Then, the relation between the tail dependence function and the intensity measure is established: they are biuniquely determined. Finally, we obtain expressions of tail dependence parameters based on the expectations of the RV components of the time series. These expressions coincide with those obtained by the conditional probabilities. Some simulation examples are demonstrated to verify the results.