2 papers
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…