Copula-based conditional tail indices
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Publication:6200942
DOI10.1016/j.jmva.2023.105268OpenAlexW4388968829MaRDI QIDQ6200942
Natalia Nolde, Joe, Harry, Vincenzo Coia
Publication date: 25 March 2024
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2023.105268
Characterization and structure theory for multivariate probability distributions; copulas (62H05) Extreme value theory; extremal stochastic processes (60G70) General nonlinear regression (62J02)
Cites Work
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