On the exact region determined by Spearman's p and Blest's measure of rank correlation v for bivariate extreme-value copulas

Considering pairs of measures of association it has been of interest how much the values of one measure varies, fixing the value of the other one. Motivated by this fact, we establish sharp lower and upper bounds for the region determined by Spearman's rho and Blest's measure of rank correlation nu for bivariate extreme-value copulas (EVCs). Moreover, in the well-studied class of EVCs, exact regions for Spearman's footrule phi/Blomqvist's beta and Spearman's rho , Kendall's tau or Blest's symmetrised measure of rank correlation xi are provided. A performance analysis comparing rank-based estimators of rho and nu with estimators using that the sample is drawn from an extreme-value copula concludes this paper.