摘要：A common measure of tail dependence is the so-called tail-dependence co e.cient.We present a nonparametric estimator of the tail-dependence co e.cient and proveits strong consistency and asymptotic normality in the case of known marginal dis-tribution functions. The finite-sample behavior as well as robustness will b e assessedthrough simulation. Although it has a good performance, it is sensitive to the extremevalue dependence assumption. We shall see that a block maxima procedure might im-prove the estimation. This will be illustrated through simulation. An application tofinancial data shall be presented at the end.
关键词：extreme value theory; stable tail dependence function; tail-dependence coe.cient
