General multivariate dependence using associated copulas

MaRDI QIDQ5357850zbMATH OpenFDO

Authors Yuri Salazar Flores

Publication date 18 September 2017

Full work available at URL https://www.ine.pt/revstat/pdf/rs160101.pdf

zbMATH Keywords

Archimedean copulascopula theoryelliptical copulasnon-positive dependenceperfect dependence modelstail dependence

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cited in

(15)

• A general approach to full-range tail dependence copulas
• Multivariate distributions of correlated binary variables generated by pair-copulas
• Counterdiagonal/nonpositive tail dependence in vine copula constructions: application to portfolio management
• The general tail dependence function in the Marshall-Olkin and other parametric copula models with an application to financial time series
• Copulas, stable tail dependence functions, and multivariate monotonicity
• Regular variation, conditions of domain of attraction and the existence of the tail dependence function in the general dependence case: a copula approach
• Monotonicity of the tail dependence for multivariate \(t\)-copula
• Duality of the Multivariate Distributions of Marshall–Olkin Type and Tail Dependence
• scientific article; zbMATH DE number 6811494 (Why is no real title available?)
• A new class of copulas with tail dependence
• Behaviour of multivariate tail dependence coefficients
• Pairwise and global dependence in trivariate copula models
• A multivariate quantile based on Kendall ordering
• Quantile dependence: a generalization of upper and lower tail dependence
• Tail dependence for multivariate copulas and its monotonicity

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