Comparing and quantifying tail dependence

Karl Friedrich Siburg, Christopher Strothmann and Gregor Wei{\ss}

Papers from arXiv.org

Abstract: We introduce a new stochastic order for the tail dependence between random variables. We then study different measures of tail dependence which are monotone in the proposed order, thereby extending various known tail dependence coefficients from the literature. We apply our concepts in an empirical study where we investigate the tail dependence for different pairs of S&P 500 stocks and indices, and illustrate the advantage of our measures of tail dependence over the classical tail dependence coefficient.

Date: 2022-08
New Economics Papers: this item is included in nep-ecm and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2208.10319

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