New Study Reveals How Extreme Events Are Completely Determined by Tail Dependence
The article explores how tail dependence and conditional tail dependence functions can help understand the extremal dependence of copulas. By analyzing these functions, researchers found that extreme value copulas are determined by tail dependence functions. They also discovered that for vine copulas, the tail dependence function can be expressed using lower-dimensional margins. Additionally, the study investigated how the tail dependence of bivariate linking copulas affects vine copulas.