Intermediate Tail Dependence : A Review and Some New Results

  title={Intermediate Tail Dependence : A Review and Some New Results},
  author={Lei Hua and Harry Joe},
The concept of intermediate tail dependence is useful if one wants to quantify the degree of positive dependence in the tails when there is no strong evidence of presence of the usual tail dependence. We first review existing studies on intermediate tail dependence, and then we report new results to supplement the review. Intermediate tail dependence for elliptical, extreme value and Archimedean copulas are reviewed and further studied, respectively. For Archimedean copulas, we not only… CONTINUE READING

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