The aim of this paper is to give a measure of the tail dependence for n-dimensional Archimedean copula functions. We propose the upper and lower tail dependence coefficients, in a multivariate framework, extending their bivariate definition given in literature.
In this paper we propose a heuristic strategy aimed at selecting and analyzing a set of financial assets, focusing attention on their multivariate tail dependence structure. The selection, obtained through an algorithmic procedure based on data mining tools, assumes the existence of a reference asset we are specifically interested to. The procedure allows… (More)