Modelling total tail dependence along diagonals

Ming-Heng Zhang

Insurance: Mathematics and Economics, 2008, vol. 42, issue 1, 73-80

Abstract: An approach to modelling total tail dependence beyond the main diagonals is proposed. The concept introduced combines the principal and minor diagonals to describe total extreme dependence. A framework is introduced for the measurement of total tail dependence under model mixture. Illustrations are presented using empirical data on stock market indices and exchange rates. An extension is provided to the multivariate case and total tail dependence is considered for model mixtures.

Date: 2008
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Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:42:y:2008:i:1:p:73-80

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