Estimating the tail-dependence coefficient: Properties and pitfalls
The concept of tail dependence describes the amount of dependence in the lower-left-quadrant tail or upper-right-quadrant tail of a bivariate distribution. A common measure of tail dependence is given by the so-called tail-dependence coefficient. This paper surveys various estimators for the tail-de...
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| Veröffentlicht in: | Insurance, mathematics & economics mathematics & economics, 2005-08, Vol.37 (1), p.80-100 |
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| container_title | Insurance, mathematics & economics |
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| creator | Frahm, Gabriel Junker, Markus Schmidt, Rafael |
| description | The concept of tail dependence describes the amount of dependence in the lower-left-quadrant tail or upper-right-quadrant tail of a bivariate distribution. A common measure of tail dependence is given by the so-called tail-dependence coefficient. This paper surveys various estimators for the tail-dependence coefficient within a parametric, semiparametric, and nonparametric framework. Further, a detailed simulation study is provided which compares and illustrates the advantages and disadvantages of the estimators. |
| doi_str_mv | 10.1016/j.insmatheco.2005.05.008 |
| format | Article |
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| language | eng |
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| source | RePEc; Elsevier ScienceDirect Journals |
| subjects | Copula Distribution Estimating techniques Estimation Extreme value theory Financial economics Insurance Mathematical analysis Mathematical economics Mathematics Model testing Simulation Statistics Studies Tail dependence Tail-dependence coefficient |
| title | Estimating the tail-dependence coefficient: Properties and pitfalls |
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