Utilize este identificador para referenciar este registo: https://hdl.handle.net/1822/37243

TítuloAn analysis of a heuristic procedure to evaluate tail (in)dependence
Autor(es)Ferreira, Marta Susana
Silva, Sérgio
Palavras-chaveTail dependence
asymptotic independence
extreme value theory
Data2014
EditoraHindawi Publishing Corporation
RevistaJournal of Probability and Statistics
Resumo(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.
TipoArtigo
URIhttps://hdl.handle.net/1822/37243
DOI10.1155/2014/913621
ISSN1687-952X
Versão da editorahttp://www.hindawi.com/journals/jps/2014/913621/
Arbitragem científicayes
AcessoAcesso aberto
Aparece nas coleções:CMAT - Artigos em revistas com arbitragem / Papers in peer review journals

Ficheiros deste registo:
Ficheiro Descrição TamanhoFormato 
ferreira_silvaf.pdfDocumento principal441,95 kBAdobe PDFVer/Abrir

Partilhe no FacebookPartilhe no TwitterPartilhe no DeliciousPartilhe no LinkedInPartilhe no DiggAdicionar ao Google BookmarksPartilhe no MySpacePartilhe no Orkut
Exporte no formato BibTex mendeley Exporte no formato Endnote Adicione ao seu ORCID