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Tails of weakly dependent random vectors

Peter Tankov

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Abstract: We introduce a new functional measure of tail dependence for weakly dependent (asymptotically independent) random vectors, termed weak tail dependence function. The new measure is defined at the level of copulas and we compute it for several copula families such as the Gaussian copula, copulas of a class of Gaussian mixture models, certain Archimedean copulas and extreme value copulas. The new measure allows to quantify the tail behavior of certain functionals of weakly dependent random vectors at the log scale.

New Economics Papers: this item is included in nep-ban, nep-ecm, nep-ets and nep-rmg
Date: 2014-02, Revised 2016-01
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Published in Journal of Multivariate Analysis, Volume 145, March 2016, Pages 73-86

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