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A Statistical methodology for assessing the maximal strength of tail dependence
Recurso electrónico / Electronic resource
MAP20200029748
Sun, Ning ‌
A Statistical methodology for assessing the maximal strength of tail dependence / Ning Sun,Chen Yang, Ricardas Zitikis
Sumario: Several diagonal-based tail dependence indices have been suggested in the literature to quantify tail dependence. They have well-developed statistical inference theories but tend to underestimate tail dependence. For those problems when assessing the maximal strength of dependence is important (e.g., co-movements of financial instruments), the maximal tail dependence index was introduced, but it has so far lacked empirical estimators and statistical inference results, thus hindering its practical use. In the present paper, we suggest an empirical estimator for the index, explore its statistical properties, and illustrate its performance on simulated data
En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 01/09/2020 Volumen 50 Número 3 - septiembre 2020 , 799-825
1. Métodos estadísticos ‌. 2. Cálculo actuarial ‌. 3. Estimación ‌. 4. Inferencia estadística ‌. I. Yang, Chen ‌. II. Zitikis, Ricardas ‌. III. Título.