Measuring and testing tail equivalence

DOI10.1016/J.JMVA.2025.105460MaRDI QIDQ6946407zbMATH OpenFDO

Authors Takaaki Koike, Shogo Kato, Toshinao Yoshiba

Publication date 6 August 2025

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

Full work available at URL https://doi.org/10.1016/J.JMVA.2025.105460

zbMATH Keywords

measure of asymmetrytail dependencetail dependence coefficienttail equivalencetail order

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Multivariate distribution of statistics (62H10)

Cites work

• A simple general approach to inference about the tail of a distribution
• An introduction to copulas.
• An overview on the progeny of the skew-normal family -- a personal perspective
• Asymmetry in tail dependence in equity portfolios
• Asymptotic Statistics
• Bivariate extreme statistics. I
• Bivariate tail estimation: dependence in asymptotic independence
• Copula-based measures of asymmetry between the lower and upper tail probabilities
• Detecting Structural Differences in Tail Dependence of Financial Time Series
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• Estimating value at risk of portfolio by conditional copula-GARCH method
• scientific article; zbMATH DE number 3624650 (Why is no real title available?)
• Maximum likelihood estimation of skew-t copulas with its applications to stock returns
• Multivariate extreme models based on underlying skew-t and skew-normal distributions
• Non-parametric Estimation of Tail Dependence
• Nonparametric inference on multivariate versions of Blomqvist's beta and related measures of tail dependence
• Probability
• Statistical Applications of the Multivariate Skew Normal Distribution
• Tail asymptotics for the bivariate skew normal
• Tail dependence for two skew t distributions
• Tail order and intermediate tail dependence of multivariate copulas
• The multivariate skew-normal distribution
• Two-Sample Testing for Tail Copulas with an Application to Equity Indices

This page was built for publication: Measuring and testing tail equivalence

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6946407)