Abstract
We analyze the multivariate upper and lower tail dependence coefficients, obtained extending the existing definitions in the bivariate case. We provide their expressions for a popular class of copula functions, the Archimedean one. Finally, we apply the formulae to some well known copula functions used in many financial analyses.
Cite
CITATION STYLE
APA
De Luca, G., & Rivieccio, G. (2012). Multivariate tail dependence coefficients for archimedean copulae. In Advanced Statistical Methods for the Analysis of Large Data-Sets (pp. 287–296). Springer Berlin Heidelberg. https://doi.org/10.1007/978-3-642-21037-2_26
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