A directory of coefficients of tail dependence
From MaRDI portal
Let \((X,Y)\) be an \(R^2\) random vector with unit Fréchet margins and \[ \Pr\{X>t,Y>t\}\sim L(t)/\Pr\{X>t\}^{1/\eta} \] for large \(t\), \(L(t)\) slowly varying as \(t\to\infty\) and \(\eta\in[0,1]\). Then \(\eta\) is called the coefficient of tail dependence. (The independence of \(X\) and \(Y\) corresponds to \(\eta=1/2\), \(L(t)=1\)). The coefficient \(\eta\) is connected with the \(\bar\chi\) dependence measure introduced by \textit{S. Coles, J. Heffernan} and \textit{J. Tawn} [Extremes 2, No. 4, 339-365 (1999; Zbl 0972.62030)] and based on the copula representation of the d.f. \(F_{XY}\): \(F_{XY}(x,y)=C(F_X(x),F_Y(y))\) (here \(C\) is some function, uniquely defined by this relation). Then \[ \bar\chi=\lim_{u\to 1} 2\log(1-u)\log^{-1}(1-u-v-C(u,v)) \] and \(\bar\chi=2\eta-1\). The paper presents \(\eta\), \(L(t)\) and copula representations for different parametric families of distributions such as Pareto, extreme value, Gaussian, Frank, Morgenstern, Raftery, etc.
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Cited in
(72)- Testing the tail-dependence based on the radial component
- Time-varying extreme value dependence with application to leading European stock markets
- Implicit extremes and implicit max-stable laws
- \(k\)th-order Markov extremal models for assessing heatwave risks
- Efficient simulation for dependent rare events with applications to extremes
- An asymptotic characterization of hidden tail credit risk with actuarial applications
- Liquidity tail risk and credit default swap spreads
- Bivariate tail estimation: dependence in asymptotic independence
- Vine copulas with asymmetric tail dependence and applications to financial return data
- On extremal dependence: some contributions
- A geometric investigation into the tail dependence of vine copulas
- Stable tail dependence functions -- some basic properties
- A note on distortion effects on the strength of bivariate copula tail dependence
- Tail dependence functions of the bivariate Hüsler-Reiss model
- Multivariate extreme value theory -- a tutorial
- Tails of correlation mixtures of elliptical copulas
- On functional records and champions
- Conditional quantiles and tail dependence
- Risk analysis of cumulative intraday return curves
- Convergence rate to a lower tail dependence coefficient of a skew-\(t\) distribution
- Measuring the extremal dependence
- Characterizations and examples of hidden regular variation
- On the generation of a multivariate extreme value distribution with prescribed tail dependence parameter matrix
- Testing for tail independence in extreme value models
- Tail dependence for skew Laplace distribution and skew Cauchy distribution
- An alternative point process framework for modeling multivariate extreme values
- The Extremal Dependence Measure and Asymptotic Independence
- Empirical estimation of tail dependence using copulas: application to Asian markets
- Copulas: A Review and Recent Developments
- A new class of models for bivariate joint tails
- Geometric interpretation of the residual dependence coefficient
- Extremal behavior of pMAX processes
- Paths and indices of maximal tail dependence
- Tail-weighted dependence measures with limit being the tail dependence coefficient
- Diagnostics for Dependence within Time Series Extremes
- A Conditional Approach for Multivariate Extreme Values (with Discussion)
- Full Bayesian analysis for a model of tail dependence
- Asymptotically unbiased estimation of the coefficient of tail dependence
- Multivariate extreme value theory and its usefulness in understanding risk
- Tail-weighted measures of dependence
- Extreme events of Markov chains
- Hidden regular variation and the rank transform
- Where does the tail begin? An approach based on scoring rules
- scientific article; zbMATH DE number 7660129 (Why is no real title available?)
- On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures
- Dependence measures for extreme value analyses
- Examples for the coefficient of tail dependence and the domain of attraction of a bivariate extreme value distribution
- Tails of weakly dependent random vectors
- Joint modelling of the body and tail of bivariate data
- Extremal Dependence-Based Specification Testing of Time Series
- Accounting for uncertainty in extremal dependence modeling using Bayesian model averaging techniques
- Tail order and intermediate tail dependence of multivariate copulas
- Sub-asymptotic motivation for new conditional multivariate extreme models
- Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility
- Permutation test of tail dependence
- Model-based inference of conditional extreme value distributions with hydrological applications
- Semiparametric Bayesian modelling of nonstationary joint extremes: how do big tech's extreme losses behave?
- The estimation risk in extreme systemic risk forecasts
- A mixed effect model for bivariate meta-analysis of diagnostic test accuracy studies using a copula representation of the random effects distribution
- Quantile dependence: a generalization of upper and lower tail dependence
- Modern extreme value statistics for Utopian extremes. EVA (2023) Conference Data Challenge: Team Yalla
- Tail dependence matrices and tests based on Spearman's and Kendall's
- Multivariate distribution regression
- Asymptotic independence in more than two dimensions and its implications on risk management
- Tail dependence between order statistics
- On the tail dependence in bivariate hydrological frequency analysis
- The weak tail dependence coefficient of the elliptical generalized hyperbolic distribution
- Extremal dependence measure and extremogram: the regularly varying case
- A software review for extreme value analysis
- Asymptotically (in)dependent multivariate maxima of moving maxima process
- Modelling total tail dependence along diagonals
- Tail dependence of skewed grouped \(t\)-distributions
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