We analyze the multivariate upper and lower tail dependence coefficients,obtained extending the existing definitions in the bivariate case. We provide their expressions for a popular class of copula functions, the Archimedean one. Finally, we apply the formulae to some well known copula functions used in many financial analyses.
Multivariate tail dependence coefficients for Archimedean Copulae
DE LUCA, GIOVANNI;RIVIECCIO, GIORGIA
2012-01-01
Abstract
We analyze the multivariate upper and lower tail dependence coefficients,obtained extending the existing definitions in the bivariate case. We provide their expressions for a popular class of copula functions, the Archimedean one. Finally, we apply the formulae to some well known copula functions used in many financial analyses.File in questo prodotto:
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