A new estimator for the tail-dependence coefficient

Details A new estimator for the tail-dependence coefficient A new estimator for the tail-dependence coefficient

2011-09-26

arxiv.org/abs/1109.5485v1

Statistics

Applications

Scientific paper

Recently, the concept of tail dependence has been discussed in financial applications related to market or credit risk. The multivariate extreme value theory is a proper tool to measure and model dependence, for example, of large loss events. A common measure of tail dependence is given by the so-called tail-dependence coefficient. We present a simple estimator of this latter that avoids the drawbacks of the estimation procedure that has been used so far. We prove strong consistency and asymptotic normality and analyze the finite sample behavior through simulation. We illustrate with an application to financial data.

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