Estimating asymptotic dependence functionals in multivariate regularly varying models

DOI10.1007/s10986-012-9172-6zbMath1275.62073MaRDI QIDQ1943759

Georg Mainik

Publication date: 21 March 2013

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11850/55254

zbMATH Keywords

tail dependence; multivariate regular variation; functional CLT; portfolio risk; functional SLLN

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62P05: Applications of statistics to actuarial sciences and financial mathematics

60F05: Central limit and other weak theorems

60F15: Strong limit theorems

91G10: Portfolio theory

Related Items

Risk concentration of aggregated dependent risks: the second-order properties

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