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Advanced Statistical Methods for the Analysis of Large Data-Sets pp 287–296Cite as

Multivariate Tail Dependence Coefficients for Archimedean Copulae

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Part of the book series: Studies in Theoretical and Applied Statistics ((STASSPSS))

Abstract

We analyze the multivariate upper and lower tail dependence coefficients, obtained extending the existing definitions in the bivariate case. We provide their expressions for a popular class of copula functions, the Archimedean one. Finally, we apply the formulae to some well known copula functions used in many financial analyses.

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Author information

Authors and Affiliations

  1. Department of Statistics and Mathematics for Economic Research, Parthenope University, via Medina 40, 80133, Napoli, Italy

    Giovanni De Luca & Giorgia Rivieccio

Authors
  1. Giovanni De Luca
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  2. Giorgia Rivieccio
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Corresponding author

Correspondence to Giorgia Rivieccio .

Editor information

Editors and Affiliations

  1. , Dept. of Statistics, University of Roma "La Sapienza", P.le Aldo Moro 5, Roma, 00185, Italy

    Agostino Di Ciaccio

  2. , Dip. di Metodi Quantitativi e Teoria Eco, University "G. d'Annunzio" of Chieti-Pes, V.le Pindaro 42, Pescara, Italy

    Mauro Coli

  3. Fac. Ciencias, Depto. Estadística e Investigación Opera, Universidad de Granada, Avenida Fuente Nueva s/n, Granada, 18071, Spain

    Jose Miguel Angulo Ibanez

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© 2012 Springer-Verlag Berlin Heidelberg

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De Luca, G., Rivieccio, G. (2012). Multivariate Tail Dependence Coefficients for Archimedean Copulae. In: Di Ciaccio, A., Coli, M., Angulo Ibanez, J. (eds) Advanced Statistical Methods for the Analysis of Large Data-Sets. Studies in Theoretical and Applied Statistics(). Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-21037-2_26

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