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Indexed by:期刊论文

Date of Publication:2022-06-30

Journal:系统工程理论与实践

Affiliation of Author(s):经济管理学院

Issue:2

Page Number:193-204

ISSN No.:1000-6788

Abstract:Based on the studies about the tail dependence with Copula functions, this paper provides two kinds of generalizations as follows: 1) the dependence between one variable which approaches to some non-tail value and the other variable which approaches to upper tail or lower tail; 2) the dependence between two variables which are not upper tail or lower tail. The classical tail dependence mainly expresses the positive or negative correlation in tails, and these generalized in this paper can be used to express the influences of one security or firm on the default possibility of others when it defaulted, and the correlation between two firms and securities when their values are some non tail values. Furthermore, this paper provides the formulae and calculation methods for the expectations of the generalized dependence in the case that the values of two variables are in some intervals. All the above enriches and characterizes the asymptotic properties of tail dependence in theory and in practice.

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