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What is Coefficient of Upper/Lower Tail Dependence

Chapter 48
Encyclopedia of Business Analytics and Optimization
The probability that the marginal distribution of a random variable X 1 exceeds a high/low quantile threshold on condition that the marginal distribution of a random variable X 2 also exceeds the same high/low quantile threshold. Stated differently, this coefficient measures the strength of the dependence in the tails of the bivariate distribution F ( X 1 , X 2 ).
Published in Chapter:
Copula-Based Multivariate Time Series Models
Iva Mihaylova (University of St. Gallen, Switzerland)
Copyright: © 2014 |Pages: 13
DOI: 10.4018/978-1-4666-5202-6.ch048
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