coefficient of tail dependence
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2017 ◽  
Vol 32 (4) ◽  
pp. 522-535
Author(s):  
David Saunders ◽  
Lung Kwan Tsui ◽  
Satish Iyengar

The coefficient of tail dependence is a quantity that measures how extreme events in one component of a bivariate distribution depend on extreme events in the other component. It is well known that the Gaussian copula has zero tail dependence, a shortcoming for its application in credit risk modeling and quantitative risk management in general. We show that this property is shared by the joint distributions of hitting times of bivariate (uniformly elliptic) diffusion processes.


2014 ◽  
Vol 57 ◽  
pp. 46-57 ◽  
Author(s):  
Christophe Dutang ◽  
Yuri Goegebeur ◽  
Armelle Guillou

2005 ◽  
Vol 37 (02) ◽  
pp. 393-414 ◽  
Author(s):  
Janet Heffernan ◽  
Sidney Resnick

Random vectors in the positive orthant whose distributions possess hidden regular variation are a subclass of those whose distributions are multivariate regularly varying with asymptotic independence. The concept is an elaboration of the coefficient of tail dependence of Ledford and Tawn. We show that the rank transform that brings unequal marginals to the standard case also preserves the hidden regular variation. We discuss applications of the results to two examples, one involving flood risk and the other Internet data.


2005 ◽  
Vol 37 (2) ◽  
pp. 393-414 ◽  
Author(s):  
Janet Heffernan ◽  
Sidney Resnick

Random vectors in the positive orthant whose distributions possess hidden regular variation are a subclass of those whose distributions are multivariate regularly varying with asymptotic independence. The concept is an elaboration of the coefficient of tail dependence of Ledford and Tawn. We show that the rank transform that brings unequal marginals to the standard case also preserves the hidden regular variation. We discuss applications of the results to two examples, one involving flood risk and the other Internet data.


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