Operator Tail Dependence of Copulas

Haijun Li ()
Additional contact information
Haijun Li: Washington State University

Methodology and Computing in Applied Probability, 2018, vol. 20, issue 3, 1013-1027

Abstract: Abstract A notion of tail dependence based on operator regular variation is introduced for copulas, and the standard tail dependence used in the copula literature is included as a special case. The non-standard tail dependence with marginal power scaling functions having possibly distinct tail indexes is investigated in detail. We show that the copulas with operator tail dependence, incorporated with regularly varying univariate margins, give rise to a rich class of the non-standard multivariate regularly varying distributions. We also show that under some mild conditions, the copula of a non-standard multivariate regularly varying distribution has the standard tail dependence of order 1. Some illustrative examples are given.

Keywords: Operator regular variation; Tail dependence; Extreme value analysis; Tail risk; 62H20; 62E20 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://link.springer.com/10.1007/s11009-017-9592-1 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:metcap:v:20:y:2018:i:3:d:10.1007_s11009-017-9592-1

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/11009

DOI: 10.1007/s11009-017-9592-1

Access Statistics for this article

Methodology and Computing in Applied Probability is currently edited by Joseph Glaz

More articles in Methodology and Computing in Applied Probability from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().