Estimating the tail-dependence coefficient: Properties and pitfalls
Definition (Multivariate tail dependence coefficients: TDC). Assume that the considered copula C is the distribution of some random vector U ...
Dependence Structure and Extreme Comovements in International ...The TDC depicts the probability that extreme events for several random variables happen simultaneously. It usually refers to the asymp- totic ... Non parametric estimation of Archimedean copulas and tail ...The MSE of the nonparametric estimator of the upper TDC is then directly related to the parameter ?, as exposed in the following proposition. Nonparametric estimator of the tail dependence coefficient - HALIn our context, tail dependence is characterized by the so-called tail-dependence coefficient (TDC) and is embedded into the general framework of copulae.
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