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Tail dependence for elliptically contoured distributions

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  • Rafael Schmidt

Abstract

The relationship between the theory of elliptically contoured distributions and the concept of tail dependence is investigated. We show that bivariate elliptical distributions possess the so-called tail dependence property if the tail of their generating random variable is regularly varying, and we give a necessary condition for tail dependence which is somewhat weaker than regular variation of the latter tail. In addition, we discuss the tail dependence property for some well-known examples of elliptical distributions, such as the multivariate normal, t, logistic, and Bessel distributions. Copyright Springer-Verlag Berlin Heidelberg 2002

Suggested Citation

  • Rafael Schmidt, 2002. "Tail dependence for elliptically contoured distributions," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 55(2), pages 301-327, May.
    • Handle: RePEc:spr:mathme:v:55:y:2002:i:2:p:301-327
    DOI: 10.1007/s001860200191
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