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A Statistical methodology for assessing the maximal strength of tail dependence

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<title>Statistical methodology for assessing the maximal strength of tail dependence</title>
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<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20140002559">
<namePart>Yang, Chen</namePart>
<nameIdentifier>MAPA20140002559</nameIdentifier>
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<name type="personal" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20170012085">
<namePart>Zitikis, Ricardas</namePart>
<nameIdentifier>MAPA20170012085</nameIdentifier>
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<genre authority="marcgt">periodical</genre>
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<dateIssued encoding="marc">2020</dateIssued>
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<abstract displayLabel="Summary">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.</abstract>
<note type="statement of responsibility">Ning Sun,Chen Yang, Ricardas Zitikis</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080597665">
<topic>Métodos estadísticos</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080579258">
<topic>Cálculo actuarial</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080554286">
<topic>Estimación</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080606688">
<topic>Inferencia estadística</topic>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
<identifier type="local">MAP20077000420</identifier>
<part>
<text>01/09/2020 Volumen 50 Número 3 - septiembre 2020 , 799-825</text>
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