Tail Dependence for Regularly Varying Time Series

Ai-Ju Shi and Jin-Guan Lin

Mathematical Problems in Engineering, 2012, vol. 2012, 1-14

Abstract:

We use tail dependence functions to study tail dependence for regularly varying (RV) time series. First, tail dependence functions about RV time series are deduced through the intensity measure. Then, the relation between the tail dependence function and the intensity measure is established: they are biuniquely determined. Finally, we obtain the expressions of the tail dependence parameters based on the expectation of the RV components of the time series. These expressions are coincided with those obtained by the conditional probability. Some simulation examples are demonstrated to verify the results we established in this paper.

Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:280869

DOI: 10.1155/2012/280869

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