tdc {FRAPO}

Tail Dependence Coefficient

Description

This function returns the pairwise tail dependence coefficients between N series. The TDCs are estimated non-parametrically by either the empirical tail copula or based on the stable tail-dependence function.

Usage

tdc(x, method = c("EmpTC", "EVT"), lower = TRUE, k = NULL, ...)

Arguments

x

Matrix, or an object that can be coerced to it.

method

Character, the type of non-parametric estimation.

lower

Logical, if TRUE (default), lower TDC are computed and upper TDC, else.

k

Integer, the threshold value for the order statistic. If left NULL, then k = sqrt(nrow(x)) is used.

...

Ellipsis, arguments are passed down to rank.

Details

For a matrix or an object that can be coerced to it with ncol(x) >= 2, the pair wise tail dependencies are estimated non-parametrically and returned as a symmetric matrix. The threshold value k is the upper/lower bound for the order statistics to be considered. The diagonal elements are always equal to one, because a series has a dependence of one with itself, of course.

Value

A matrix with the tail dependent coefficients.

Author(s)

Bernhard Pfaff

References

Schmidt, R. and Stadtm\"uller, U., Nonparametric estimation of tail dependence, The Scandinavian Journal of Statistics, 33, 307–335.

See Also

PMTD

Examples

data(StockIndex)
Rets <- returnseries(StockIndex, method = "discrete", trim = TRUE,
                     percentage = TRUE)
tdc(Rets, method = "EmpTC")
tdc(Rets, method = "EVT")