Tail dependence functions and vine copulas

DOI10.1016/j.jmva.2009.08.002zbMath1177.62072OpenAlexW2114336414MaRDI QIDQ1041080

Haijun Li, Aristidis K. Nikoloulopoulos, Joe, Harry

Publication date: 27 November 2009

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2009.08.002

zbMATH Keywords

extreme values D-vine Archimedean copulas C-vine conditional tails

Mathematics Subject Classification ID

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

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