tail dependence

Wednesday, February 21, 2018 - 9:50am - 10:30am
Zhengjun Zhang (University of Wisconsin, Madison)
This paper presents a novel nonlinear framework for the construction of flexible multivariate dependence structure~(i.e., copula) from existing copulas based on a straightforward pairwise max rule. The newly constructed max-copula has a closed form and has strong interpretability. Compared to the classical linear symmetric mixture copula, the max-copula can be viewed as a non-linear asymmetric framework. It is capable of modeling asymmetric dependence and joint tail behavior while also offering good performance in non-extremal behavior modeling.
Subscribe to RSS - tail dependence