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1 results

  • A STATISTICAL METHODOLOGY FOR ASSESSING THE MAXIMAL STRENGTH OF TAIL DEPENDENCE

  • Ning Sun, Chen Yang, Ričardas Zitikis
  • Journal:
    ASTIN Bulletin: The Journal of the IAA / Volume 50 / Issue 3 / September 2020
    Published online by Cambridge University Press:
    29 June 2020, pp. 799-825
    Print publication:
    September 2020

  • 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.