Tail dependence for elliptically contoured distributions

Rafael Schmidt

Mathematical Methods of Operations Research, 2002, vol. 55, issue 2, 327 pages

Abstract: The relationship between the theory of elliptically contoured distributions and the concept of tail dependence is investigated. We show that bivariate elliptical distributions possess the so-called tail dependence property if the tail of their generating random variable is regularly varying, and we give a necessary condition for tail dependence which is somewhat weaker than regular variation of the latter tail. In addition, we discuss the tail dependence property for some well-known examples of elliptical distributions, such as the multivariate normal, t, logistic, and Bessel distributions. Copyright Springer-Verlag Berlin Heidelberg 2002

Keywords: Key words: Elliptical distribution; spherical distribution; tail dependence; regular variation (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (52)

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DOI: 10.1007/s001860200191

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