In financial practice, it is important to understand the dependence structure between the returns of individual assets and the market index. This particularly true under extreme situations. Theoretically, this amounts to regress the dependence relationship against a set of pre-specified...

In general, risk of an extreme outcome in financial markets can be expressed as a function of the tail copula of a high-dimensional vector after standardizing marginals. Hence it is of importance to model and estimate tail copulas. Even for moderate dimension, nonparametrically estimating a tail...