Systematic co-occurrence of tail correlation functions among max-stable processes

2014/02/19 by Kirstin Strokorb, Strokorb, Kirstin, Felix Ballani +3
Economics, Econometrics and Finance · Mathematics · #60G60 #60G70 #FOS: Mathematics #Financial Risk and Volatility Modeling #Market Dynamics and Volatility #Probability (math.PR) #Statistical Methods and Inference #math.PR #msc:60G60 #msc:60G70

paper · pdf · doi:10.48550/arxiv.1402.4632

31 pages, 4 Tables, 5 Figures

arxiv created 2014/02/19 · openalex publication_date 2014/02/19 · arxiv updated 2014/02/20 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

The tail correlation function (TCF) is one of the most popular bivariate extremal dependence measures that has entered the literature under various names. We study to what extent the TCF can distinguish between different classes of well-known max-stable processes and identify essentially different processes sharing the same TCF.

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