I propose a novel measure of information share, termed tail information share (TIS), which focuses on modeling the tail dependence of price innovations using copulas. I discuss its detailed technical properties, including unique identifiability, estimation procedures, and statistical properties. The proposed TIS improves over two commonly used measures by providing meaningful economic rationale and unique identifiability. My simulation studies indicate that TIS can yield more accurate estimates of market-specific contributions to price discovery when tail dependence is present. Additionally, I demonstrate the asymptotic consistency and efficiency of TIS estimators. An empirical illustration is provided using a new dataset of high-frequency crude oil futures.

中文翻译：

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两条尾巴的故事：一种基于 Copula 的新的独特信息共享度量

我提出了一种新的信息共享衡量标准，称为尾部信息共享（TIS），其重点是使用联结函数对价格创新的尾部依赖性进行建模。我讨论了它的详细技术特性，包括独特的可识别性、估计程序和统计特性。拟议的 TIS 通过提供有意义的经济原理和独特的可识别性，改进了两种常用的衡量标准。我的模拟研究表明，当存在尾部依赖性时，TIS 可以更准确地估计市场特定对价格发现的贡献。此外，我还证明了 TIS 估计器的渐近一致性和效率。使用高频原油期货的新数据集提供了实证说明。