Caillault, Cyril; Guegan, Dominique - In: Quantitative Finance 5 (2005) 5, pp. 489-501
This paper introduces non-parametric estimators for upper and lower tail dependence whose confidence intervals are obtained with a bootstrap method. We call these estimators 'naive estimators' as they represent a discretization of Joe's formulae linking copulas to tail dependence. We apply the...