Tail dependence of the Gaussian copula revisited (Q343977): Difference between revisions

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+Tail dependence measure for examining financial extreme co-movements
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+Marshall-Olkin distributions -- advances in theory and applications. Selected papers based on the presentations at the conference, Bologna, Italy, October 2--3, 2013
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+Dependence measures for extreme value analyses
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+The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis
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+The bivariate normal copula function is regularly varying
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+PATHS AND INDICES OF MAXIMAL TAIL DEPENDENCE
@@ Property / cites work: PATHS AND INDICES OF MAXIMAL TAIL DEPENDENCE / rank @@
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+Polynomial Pickands functions
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+Strength of tail dependence based on conditional tail expectation
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+Parametric families of multivariate distributions with given margins
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+Tail dependence functions and vine copulas
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+Statistics for near independence in multivariate extreme values
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+Some Concepts of Dependence
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+Distorted mix method for constructing copulas with tail dependence
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+Q5706744
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+The Bivariate Normal Copula
@@ Property / cites work: The Bivariate Normal Copula / rank @@
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+An introduction to copulas.
@@ Property / cites work: An introduction to copulas. / rank @@
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+Q3667778
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+Q4331174
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+Mathematical Risk Analysis
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+Multivariate conditional versions of Spearman's rho and related measures of tail dependence
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+Bivariate extreme statistics. I
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+Bounds for the sum of dependent risks and worst value-at-risk with monotone marginal densities
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+Modelling total tail dependence along diagonals
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