Tail independence in extreme value models – an application for East and Central Europe Stock Exchange Markets
Tail independence in extreme value models – an application for East and Central Europe Stock Exchange Markets

Summary/Abstract: The concept of tail dependence represents the current standard to describe the amount of extremal dependence. While extreme value theory allows for constructing estima-tors of the tail dependence coefficient, tests for tail independence are indispensable when working with tail dependence, since all estimators of the tail dependence coefficient are strongly misleading when the data does not stem from a tail dependent setting.The main aim of this paper is to compare the power of the extreme-value dependence tests which are based on extreme value theory (a log-likelihood ratio test and goodness of fit tests) on original time series from stock exchange markets from East and Central Europe.

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