Klüppelberg, Claudia; Kuhn, Gabriel; Peng, Liang - 2006
In general, risk of an extreme outcome in financial markets can be expressed as a function of the tail copula of a high … dimension, nonparametrically estimating a tail copula is very inefficient and fitting a parametric model to tail copulas is not … assumption, we propose a novel estimator for the tail copula, which proves favourable compared to the empirical tail copula, both …