Extremal dependence of copulas: a tail density approach

DOI10.1016/J.JMVA.2012.07.005MaRDI QIDQ1931856zbMATH OpenOpenAlexFDO

Authors Haijun Li, Peiling Wu

Publication date 16 January 2013

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2012.07.005

zbMATH Keywords

tail dependencevine copulasmultivariate extremestail riskregularly varying density

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cited in

(19)

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• Dense classes of multivariate extreme value distributions
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• Asymptotic analysis of the loss given default in the presence of multivariate regular variation
• Extremal behavior of diagonal and Bertino copulas
• scientific article; zbMATH DE number 5618857 (Why is no real title available?)
• On truncation invariant copulas and their estimation
• Operator tail dependence of copulas
• Tail densities of skew-elliptical distributions
• Toward a copula theory for multivariate regular variation
• scientific article; zbMATH DE number 5631923 (Why is no real title available?)
• Higher order tail densities of copulas and hidden regular variation
• Univariate conditioning of vine copulas
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• Extreme semilinear copulas
• Tail dependence of the Gaussian copula revisited
• scientific article; zbMATH DE number 7234587 (Why is no real title available?)
• On the effect of long-range dependence on extreme value copula estimation with fixed marginals
• On conditional value at risk (CoVaR) for tail-dependent copulas

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