A0932
Title: Tail maximal dependence in bivariate models: Estimation and applications
Authors: Chen Yang - Icahn School of Medicine at Mount Sinai (United States) [presenting]
Abstract: Assessing dependence within extreme co-movements of financial instruments has been of much interest in the domain of risk management. Typically, indices of tail dependence are used to quantify the strength of such dependence, although many of them underestimate the strength. To address this issue, the tail order of maximal dependence (TOMD) is proposed to improve the diagonal-based tail dependence indices. However, TOMD has so far lacked empirical estimators and statistical inference results, thus hindering its practical use. For this reason, a statistical procedure is developed to estimate the indices. The proposed procedure is evaluated through simulation studies, and it is further demonstrated with real-world financial data.
