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Klüppelberg, Claudia and Kuhn, Gabriel and Peng, Liang (2006): Estimating Tail Dependence of Elliptical Distributions. Collaborative Research Center 386, Discussion Paper 470
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Abstract

Recently there has been an increasing interest in applying elliptical distributions to risk management. Under weak conditions, Hult and Lindskog (2002) showed that a random vector with an elliptical distribution is in the domain of attraction of a multivariate extreme value distribution. In this paper we study two estimators for the tail dependence function, which are based on extreme value theory and the structure of an elliptical distribution, respectively. After deriving second order regular variation estimates and proving asymptotic normality for both estimators, we show that the estimator based on the structure of an elliptical distribution is better than that based on extreme value theory in terms of both asymptotic variance and optimal asymptotic mean squared error.Our theoretical results are confirmed by a simulation study.