Due to globalization and relaxed market regulation, we have assisted to an increasing of extremal dependence in international markets. As a consequence, several measures of tail dependence have been stated in literature in recent years, based on multivariate extreme value theory. We present an extremal coefficient of dependence between two random vectors that extend existing ones. A simple estimator will be presented and we will illustrate with an application to financial markets of Europe, USA and Far East.

Palavras-chave: multivariate extreme value theory, tail dependence, extremal coefficients