Tail Dependence Coefficients
Research material:
- Estimating the tail-dependence coefficient: Properties and pitfalls
- Nonparametric estimation of the tail-dependence coefficient
- Empirical Estimation of Tail Dependence Using Copulas. Application to Asian Markets
- A note on a non-parametric tail dependence estimator
- Estimation of the Upper Tail Dependence Coefficient for Insurance Loss Data Using an Empirical Copula-Based Approach