论文标题
双变量模型中的最大依赖性：估计和应用
Tail maximal dependence in bivariate models: estimation and applications
论文作者
论文摘要
评估金融工具共同体内部的依赖性在风险管理中具有很大兴趣。通常，尽管许多指数低估了强度，但使用尾部依赖的指标来量化这种依赖性的强度。因此，我们主张使用旨在估算共同运动中可能发生的最大依赖强度的统计程序。我们使用模拟和真实数据集说明了过程。
Assessing dependence within co-movements of financial instruments has been of much interest in risk management. Typically, indices of tail dependence are used to quantify the strength of such dependence, although many of the indices underestimate the strength. Hence, we advocate the use of a statistical procedure designed to estimate the maximal strength of dependence that can possibly occur among the co-movements. We illustrate the procedure using simulated and real data-sets.
