Extremal dependence of copulas: a tail density approach

DOI10.1016/J.JMVA.2012.07.005zbMath1255.62154OpenAlexW2051640039MaRDI QIDQ1931856

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

multivariate extremestail dependencetail riskvine copulasregularly varying density

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)

Related Items (9)

On truncation invariant copulas and their estimation ⋮ Operator tail dependence of copulas ⋮ PATHS AND INDICES OF MAXIMAL TAIL DEPENDENCE ⋮ Tail densities of skew-elliptical distributions ⋮ On conditional value at risk (CoVaR) for tail-dependent copulas ⋮ Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation ⋮ Toward a Copula Theory for Multivariate Regular Variation ⋮ Univariate conditioning of vine copulas ⋮ Higher order tail densities of copulas and hidden regular variation

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