A STATISTICAL METHODOLOGY FOR ASSESSING THE MAXIMAL STRENGTH OF TAIL DEPENDENCE
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DOI: 10.1017/asb.2020.21
Abstract: Several diagonal-based tail dependence indices have been suggested in the literature to quantify tail dependence. They have well-developed statistical inference theories but tend to underestimate tail dependence. For those problems when assessing the maximal strength… read more here.
Keywords: methodology; dependence; tail dependence; assessing maximal ... See more keywords