Extreme residual dependence for random vectors and processes
Authors:
- Laurens De HaanLHLaurens De Haan
- Chen ZhouCZChen Zhou
- 1 March 2011
- journal article
- Published by Cambridge University Press (CUP) in Advances in Applied Probability
- Vol. 43 (1) , 217-242
Abstract
A two-dimensional random vector in the domain of attraction of an extreme value distributionGis said to be asymptotically independent (i.e. in the tail) ifGis the product of its marginal distribution functions. Ledford and Tawn (1996) 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 banking system is treated in a similar framework.Keywords
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