Tail maximal dependence in bivariate models: estimation and applications
Methodology
2022-09-21 v2 Applications
Abstract
Assessing dependence within co-movements of financial instruments has been of much interest in risk management. Typically, indices of tail dependence are used to quantify the strength of such dependence, although many of the indices underestimate the strength. Hence, we advocate the use of a statistical procedure designed to estimate the maximal strength of dependence that can possibly occur among the co-movements. We illustrate the procedure using simulated and real data-sets.
Cite
@article{arxiv.2207.13248,
title = {Tail maximal dependence in bivariate models: estimation and applications},
author = {Ning Sun and Chen Yang and Ričardas Zitikis},
journal= {arXiv preprint arXiv:2207.13248},
year = {2022}
}