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math.ST2026
A Characterization of Measures of Concordance of Degree Two
Takaaki Koike, Haruki Tsunekawa
We characterize bivariate measures of concordance of degree at most two in the sense that the measures evaluated at copula-mixture segments are polynomials of degree at most two. O…
math.ST2026
Measuring multivariate maximal tail dependence
Takaaki Koike, Marius Hofert, Haruki Tsunekawa
The classical tail dependence coefficient (TDC) may fail to capture non-exchangeable features of bivariate tail dependence since it evaluates the underlying copula only along the d…
q-fin.RM2026
Tail copula representation of path-based maximal tail dependence
Takaaki Koike, Marius Hofert, Haruki Tsunekawa
The classical tail dependence coefficient (TDC) may fail to capture non-exchangeable features of tail dependence due to its restrictive focus on the diagonal of the underlying copu…