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Tail dependence of the Gaussian copula revisited

Edward Furman, Alexey Kuznetsov, Jianxi Su and Ričardas Zitikis

Insurance: Mathematics and Economics, 2016, vol. 69, issue C, 97-103

Abstract: Tail dependence refers to clustering of extreme events. In the context of financial risk management, the clustering of high-severity risks has a devastating effect on the well-being of firms and is thus of pivotal importance in risk analysis.

Keywords: Diagonal; Gaussian copula; Maximal tail dependence; Tail independence; Index of tail dependence (search for similar items in EconPapers)
JEL-codes: C02 C51 (search for similar items in EconPapers)
Date: 2016
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Handle: RePEc:eee:insuma:v:69:y:2016:i:c:p:97-103