56 research outputs found
Tail maximal dependence in bivariate models: estimation and applications
Assessing dependence within co-movements of financial instruments has been of
much interest in risk management. Typically, indices of tail dependence are
used to quantify the strength of such dependence, although many of the indices
underestimate the strength. Hence, we advocate the use of a statistical
procedure designed to estimate the maximal strength of dependence that can
possibly occur among the co-movements. We illustrate the procedure using
simulated and real data-sets
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