Gardes, Laurent; Girard, Stéphane - In: Journal of Multivariate Analysis 137 (2015) C, pp. 1-16
The tail copula is widely used to describe the dependence in the tail of multivariate distributions. In some situations … such as risk management, the dependence structure may be linked with some covariate. The tail copula thus depends on this … covariate and is referred to as the conditional tail copula. The aim of this paper is to propose a nonparametric estimator of …