Asymptotic behaviour of multivariate default probabilities and default correlations under stress (Q2804413): Difference between revisions

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+Extreme behaviour for bivariate elliptical distributions
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+On Pearson-Kotz Dirichlet distributions
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+Inverse problems for regular variation of linear filters, a cancellation property for \(\sigma\)-finite measures and identification of stable laws
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+CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS
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+Semi‐Parametric Models for the Multivariate Tail Dependence Function – the Asymptotically Dependent Case
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+Tail dependence for elliptically contoured distributions
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