Tail maximal dependence in bivariate models: estimation and applications

07/27/2022
by   Ning Sun, et al.
0

Assessing dependence within co-movements of financial instruments has been of much interest in risk management. Typically, indices of tail dependence are used to quantify the strength of such dependence, although many of the indices underestimate the strength. Hence, we advocate the use of a statistical procedure designed to estimate the maximal strength of dependence that can possibly occur among the co-movements. We illustrate the procedure using simulated and real data-sets.

READ FULL TEXT

Please sign up or login with your details

Forgot password? Click here to reset