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Modelling total tail dependence along diagonals. (English) Zbl 1142.62097

Summary: An approach to modelling total tail dependence beyond the main diagonals is proposed. The concept introduced combines the principal and minor diagonals to describe total extreme dependence. A framework is introduced for the measurement of total tail dependence under model mixtures. Illustrations are presented using empirical data on stock market indices and exchange rates. An extension is provided to the multivariate case and total tail dependence is considered for model mixtures.

MSC:

62P05 Applications of statistics to actuarial sciences and financial mathematics
62G32 Statistics of extreme values; tail inference
91B28 Finance etc. (MSC2000)
62H20 Measures of association (correlation, canonical correlation, etc.)
62P20 Applications of statistics to economics

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