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On a measure of dependence for extreme value copulas

Author

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  • Naoyuki Ishimura
  • Naohiro Yoshida

Abstract

The structure of dependence relation among various risk factors is an important topics for researches. To quantitatively measure such dependence relations, several characteristics have been already employed so far. Our objective is to propose a generalization of these dependence measures for extreme risk events. To understand the dependence relation among random variables, copulas are known to provide a flexible analytical tool. Our modeling approach is to introduce a kind of generalized measures of dependence through the form of extreme value copulas. The method of based on the extension of the so called Pickands representation formula. With the use of variety of relevant dependence measures, we can expect detailed analysis and/or better understanding on the relations among risk factors, since the extent of dependence structure will be estimated by rigid values.

Suggested Citation

  • Naoyuki Ishimura & Naohiro Yoshida, 2017. "On a measure of dependence for extreme value copulas," EcoMod2017 10311, EcoMod.
    • Handle: RePEc:ekd:010027:10311
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    References listed on IDEAS

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    1. Marco Scarsini, 1984. "Strong measures of concordance and convergence in probability," Post-Print hal-00542387, HAL.
    2. Marco Scarsini, 1984. "On measures of concordance," Post-Print hal-00542380, HAL.
    3. M. Taylor, 2007. "Multivariate measures of concordance," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 59(4), pages 789-806, December.
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