Comparing and quantifying tail dependence

Karl Friedrich Siburg, Christopher Strothmann and Gregor Weiß

Insurance: Mathematics and Economics, 2024, vol. 118, issue C, 95-103

Abstract: We introduce a new stochastic order for the tail dependence between random variables. We then study different measures of tail dependence which are monotone in the proposed order, thereby extending various known tail dependence coefficients from the literature. We apply our concepts in an empirical study where we investigate the tail dependence for different pairs of S&P 500 stocks and indices, and illustrate the advantage of our measures of tail dependence over the classical tail dependence coefficient.

Keywords: Tail dependence; Measure of dependence; Dependence modelling (search for similar items in EconPapers)
JEL-codes: C00 C58 G17 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:118:y:2024:i:c:p:95-103

DOI: 10.1016/j.insmatheco.2024.06.006

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