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Comparing and quantifying tail dependence

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  • Karl Friedrich Siburg
  • Christopher Strothmann
  • Gregor Wei{ss}

Abstract

We introduce a new stochastic order for the tail dependence between random variables. We then study different measures of tail dependence which are monotone in the proposed order, thereby extending various known tail dependence coefficients from the literature. We apply our concepts in an empirical study where we investigate the tail dependence for different pairs of S&P 500 stocks and indices, and illustrate the advantage of our measures of tail dependence over the classical tail dependence coefficient.

Suggested Citation

  • Karl Friedrich Siburg & Christopher Strothmann & Gregor Wei{ss}, 2022. "Comparing and quantifying tail dependence," Papers 2208.10319, arXiv.org.
    • Handle: RePEc:arx:papers:2208.10319
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    References listed on IDEAS

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