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Multivariate Tail Coefficients: Properties and Estimation

Journal Contribution - Journal Article

Multivariate tail coefficients are an important tool when investigating dependencies between extreme events for different components of a random vector. Although bivariate tail coefficients are well-studied, this is, to a lesser extent, the case for multivariate tail coefficients. This paper contributes to this research area by (i) providing a thorough study of properties of existing multivariate tail coefficients in the light of a set of desirable properties; (ii) proposing some new multivariate tail measurements; (iii) dealing with estimation of the discussed coefficients and establishing asymptotic consistency; and, (iv) studying the behavior of tail measurements with increasing dimension of the random vector. A set of illustrative examples is given, and practical use of the tail measurements is demonstrated in a data analysis with a focus on dependencies between stocks that are part of the EURO STOXX 50 market index.
Journal: Entropy
ISSN: 1099-4300
Issue: 7
Volume: 22
Publication year:2020
BOF-keylabel:yes
IOF-keylabel:yes
BOF-publication weight:1
CSS-citation score:1
Authors:International
Authors from:Higher Education
Accessibility:Open