Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/31079
Authors: 
Klüppelberg, Claudia
Kuhn, Gabriel
Peng, Liang
Year of Publication: 
2006
Series/Report no.: 
Discussion paper // Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München 468
Abstract: 
In general, risk of an extreme outcome in financial markets can be expressed as a function of the tail copula of a high-dimensional vector after standardizing marginals. Hence it is of importance to model and estimate tail copulas. Even for moderate dimension, nonparametrically estimating a tail copula is very inefficient and fitting a parametric model to tail copulas is not robust. In this paper we propose a semi-parametric model for tail copulas via an elliptical copula. Based on this model assumption, we propose a novel estimator for the tail copula, which proves favourable compared to the empirical tail copula, both theoretically and empirically
Subjects: 
Asymptotic normality
Dependence modeling
Elliptical copula
Elliptical distribution
Multivariate modeling
Regular variation
Tail copula
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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