An Analysis of a Heuristic Procedure to Evaluate Tail (in)dependence

Table 5

Estimates of 𝜂,𝜎₁,𝜎₂,𝜒,𝜆^SEC and 𝜆^LOG, for (INTC, MSFT), (INTC, GE), and (MSFT, GE), with 𝑏=0.005.

	𝜂	𝜎1	𝜎2	𝜒	𝜆^SEC	𝜆^LOG
(INTC, MSFT)	0.7321	0.0224	0.0149	0.5741	0.2629	0.2489
(INTC, GE)	0.5549	0.0065	0.0042	0.3040	0.0551	0.0372
(MSFT, GE)	0.7300	0.0321	0.0241	0.3808	0.1762	0.1613