Empirical estimation of tail dependence using copulas: application to Asian markets

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Dependence structure and extreme comovements in international equity and bond markets (2011, unknown): “10 When tail dependence is estimated non-parametrically as in Caillault and Guegan (2005), the same problem of limited extreme data points occurs.”
Global Financial Crisis, Extreme Interdependences, and Contagion Effects: The Role of Economic Structure? (2011, methodology): “Caillault and Guegan (2005) apply the Student and Archimedean copulas (Gumbel and Clayton) to daily data of three Asian emerging markets over the period from July 1987 to December 2002.”
Modeling International Financial Returns with a Multivariate Regime Switching Copula (2009, unknown): “We use the bootstrap method proposed by Caillault & Guégan (2005) for the selection of the best threshold to estimate tail dependence.”
Derivation of low flow distribution functions using copulas (2014, methodology): “(3) to estimate tail dependence in accordance with Caillault and Guégan (2005):”
A new time-varying optimal copula model identifying the dependence across markets (2017, methodology): “Following Joe (1997) and Caillault and Guégan (2005), two tail-dependence functions, upper tail and lower tail, are employed.”