An Analysis of a Heuristic Procedure to Evaluate Tail (in)dependence

Measuring tail dependence is an important issue in many applied sciences in order to quantify the risk of simultaneous extreme events. A usual measure is given by the tail dependence coefficient. The characteristics of events behave quite differently as these become more extreme, whereas we are in t...

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Bibliographic Details
Main Authors: Marta Ferreira, Sérgio Silva
Format: Article
Language:English
Published: Wiley 2014-01-01
Series:Journal of Probability and Statistics
Online Access:http://dx.doi.org/10.1155/2014/913621
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