Working Paper 2022-605
This paper proposes a graphical tool based on the copula function, namely the mul-tivariate tail concentration function, to represent the dependence structure on the tailsof a multivariate joint distribution. We illustrate the use of this function to measuredependence between poverty dimensions. In particular, we analyse how multivariate taildependence between the dimensions of the AROPE rate evolved in the EU-28 between2008 and 2018. We nd evidence of lower tail dependence in all EU-28 countries, al-though this dependence is time-varying over the period analysed and the eect of theGreat Recession on this dependence is not homogeneous over all countries.
Authors: César Garcia-Gomez, Ana Pérez, Mercedes Prieto-Alaiz.