On a measure of dependence for extreme value copulas

Naoyuki Ishimura and Naohiro Yoshida

No 10311, EcoMod2017 from EcoMod

Abstract: The structure of dependence relation among various risk factors is an important topics for researches. To quantitatively measure such dependence relations, several characteristics have been already employed so far. Our objective is to propose a generalization of these dependence measures for extreme risk events. To understand the dependence relation among random variables, copulas are known to provide a flexible analytical tool. Our modeling approach is to introduce a kind of generalized measures of dependence through the form of extreme value copulas. The method of based on the extension of the so called Pickands representation formula. With the use of variety of relevant dependence measures, we can expect detailed analysis and/or better understanding on the relations among risk factors, since the extent of dependence structure will be estimated by rigid values.

Keywords: Japan; Finance; Modeling: new developments (search for similar items in EconPapers)
Date: 2017-07-04
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Persistent link: https://EconPapers.repec.org/RePEc:ekd:010027:10311

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