Directional Dependence of Extreme Events
极端事件的方向性依赖
This paper introduces a novel measure to quantify the directional dependence of extreme events between two variables. The proposed approach is designed to capture asymmetric tail dependence by studying conditional tail expectations of rank-transformed variables, thereby quantifying the behavior of one variable when the other takes extreme values. We investigate the theoretical asymptotic behavior of the associated estimator. The effectiveness of the approach is demonstrated…