Please use this identifier to cite or link to this item: https://hdl.handle.net/1822/37243

TitleAn analysis of a heuristic procedure to evaluate tail (in)dependence
Author(s)Ferreira, Marta Susana
Silva, Sérgio
KeywordsTail dependence
asymptotic independence
extreme value theory
Issue date2014
PublisherHindawi Publishing Corporation
JournalJournal of Probability and Statistics
Abstract(s)Measuring tail dependence is an important issue in many applied sciences in order to quantify the risk of simultaneous extreme events. A usual measure is given by the tail dependence coefficient. The characteristics of events behave quite differently as these become more extreme, whereas we are in the class of asymptotic dependence or in the class of asymptotic independence. The literature has emphasized the asymptotic dependent class but wrongly infers that tail dependence will result in the overestimation of extreme value dependence and consequently of the risk. In this paper we analyze this issue through simulation based on a heuristic procedure.
TypeArticle
URIhttps://hdl.handle.net/1822/37243
DOI10.1155/2014/913621
ISSN1687-952X
Publisher versionhttp://www.hindawi.com/journals/jps/2014/913621/
Peer-Reviewedyes
AccessOpen access
Appears in Collections:CMAT - Artigos em revistas com arbitragem / Papers in peer review journals

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