Interval estimation for a measure of tail dependence

On kernel-based estimation of conditional Kendall’s tau: finite-distance bounds and asymptotic behavior

“…Nonetheless, such pointwise events can be found in the literature, but in some parametric or semi-parametric particular frameworks, as for the identifiability of frailty distributions in bivariate proportional models ( [18], [19]). Other related papers are [20] or [21], that are dealing with extreme co-movements (bivariate extreme-value theory). There, the tail conditioning events of Kendall's tau have probabilities that go to zero with the sample size.…”

The Implications of Tail Dependency Measures for Counterparty Credit Risk Pricing

“…Liu et al (2015) provides a method for calculating confidence intervals of tail dependence measures that could be used to provide an interval for our implicit time varying correlation.…”