Statistical Tools for Finance and Insurance  
 

3 Tail Dependence
3.1 Introduction
3.2 What is Tail Dependence?
3.3 Calculation of the Tail-dependence Coefficient
3.4 Estimating the Tail-dependence Coefficient
3.5 Comparison of TDC Estimators
3.6 Tail Dependence of Asset and FX Returns
3.7 Value at Risk - a Simulation Study
Bibliography

 
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