Estimating the tail-dependence coefficient: properties and pitfalls

DOI10.1016/j.insmatheco.2005.05.008zbMath1101.62012OpenAlexW2057110654MaRDI QIDQ2567090

Rafael Schmidt, Markus Junker, Gabriel Frahm

Publication date: 29 September 2005

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2005.05.008

zbMATH Keywords

copula estimation simulation extreme value theory tail dependence tail-dependence coefficient

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Point estimation (62F10) Statistics of extreme values; tail inference (62G32)

Related Items

Estimation of high-order moment-independent importance measures for Shapley value analysis ⋮ The realization problem for tail correlation functions ⋮ The determinants of CDS spreads: evidence from the model space ⋮ Estimation of risk measures in energy portfolios using modern copula techniques ⋮ Dynamic modeling of tail risk: Applications to China, Hong Kong and other Asian markets ⋮ PERFORMANCE OF PROGNOSIS INDICATORS FOR SUPERIMPOSED RENEWAL PROCESSES ⋮ \(t\)-copula from the viewpoint of tail dependence matrices ⋮ Choice of smoothing parameter in multivariate copula-based tail coefficients ⋮ An analysis of a heuristic procedure to evaluate tail (in)dependence ⋮ Tail dependence and smoothness of time series ⋮ Extremes of asymptotically spherical and elliptical random vectors ⋮ A note on tail dependence regression ⋮ Optimising portfolio diversification and dimensionality ⋮ A new blocks estimator for the extremal index ⋮ Bivariate rainfall and runoff analysis using entropy and copula theories ⋮ On extremal dependence: some contributions ⋮ Testing for lower tail dependence in extreme value models ⋮ Tail-dependence, exceedance sets, and metric embeddings ⋮ On tail dependence coefficients of transformed multivariate Archimedean copulas ⋮ Copula modeling from Abe Sklar to the present day ⋮ On the tail dependence in bivariate hydrological frequency analysis ⋮ Vine copula approximation: a generic method for coping with conditional dependence ⋮ Tail maximal dependence in bivariate models: estimation and applications ⋮ Tail dependence for regularly varying time series ⋮ Testing tail monotonicity by constrained copula estimation ⋮ Tail-weighted measures of dependence ⋮ Analysing financial contagion and asymmetric market dependence with volatility indices via copulas ⋮ A STATISTICAL METHODOLOGY FOR ASSESSING THE MAXIMAL STRENGTH OF TAIL DEPENDENCE ⋮ Modeling Operational Risk: Estimation and Effects of Dependencies ⋮ Modelling total tail dependence along diagonals ⋮ Nonparametric tests for constant tail dependence with an application to energy and finance ⋮ Tail asymptotics for the sum of two heavy-tailed dependent risks ⋮ Copula-based mixed models for bivariate rainfall data: an empirical study in regression perspective ⋮ Tail-weighted dependence measures with limit being the tail dependence coefficient ⋮ A semi-parametric approach to risk management ⋮ Local Gaussian correlation: a new measure of dependence ⋮ Copulas, diagonals, and tail dependence ⋮ Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients ⋮ Dependence of Stock Returns in Bull and Bear Markets ⋮ Nonparametric Tail Copula Estimation: An Application to Stock and Volatility Index Returns ⋮ Semi-polynomial copulas ⋮ Methods for estimating the upcrossings index: improvements and comparison ⋮ Tails of correlation mixtures of elliptical copulas ⋮ Multivariate conditional versions of Spearman's rho and related measures of tail dependence ⋮ On the construction of copulas and quasi-copulas with given diagonal sections ⋮ Measurement of aggregate risk with copulas ⋮ Estimation of bivariate excess probabilities for elliptical models ⋮ Clustering of time series via non-parametric tail dependence estimation ⋮ Does terrorism trigger online hate speech? On the association of events and time series ⋮ Nonparametric inference on multivariate versions of Blomqvist's beta and related measures of tail dependence ⋮ Space‐efficient estimation of empirical tail dependence coefficients for bivariate data streams ⋮ A multivariate Lévy process model with linear correlation ⋮ Absolutely Continuous Copulas with Given Diagonal Sections ⋮ Asymptotic independence and support detection techniques for heavy-tailed multivariate data ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Measuring large comovements in financial markets ⋮ Nonparametric estimation of general multivariate tail dependence and applications to financial time series

Cites Work