An analysis of a heuristic procedure to evaluate tail (in)dependence
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 t...
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| Format: | article |
| Language: | eng |
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2014
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| Online Access: | http://hdl.handle.net/1822/37243 |
| Country: | Portugal |
| Oai: | oai:repositorium.sdum.uminho.pt:1822/37243 |