Extreme residual dependence for random vectors and processes

  title={Extreme residual dependence for random vectors and processes},
  author={Laurens de Haan and Chen Zhou},
A two-dimensional random vector in the domain of attraction of an extreme value distribution G is said to be asymtptotically independent (i.e. in the tail) if G is the product of its marginal distribution functions. Ledford and Tawn (1996) have discussed a form of residual dependence in this case. In this paper, we give a characterization of this phenomenon (see also Ramos and Ledford (2009)) and offer extensions to higher dimensional spaces and stochastic processes. Systemic risk in the… CONTINUE READING

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