3
Tail Dependence
3.1
Introduction
3.2
What is Tail Dependence?
3.3
Calculation of the Tail-dependence Coefficient
3.3.1
Archimedean Copulae
3.3.2
Elliptically-contoured Distributions
3.3.3
Other Copulae
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