Measures of tail asymmetry for bivariate copulas

DOI10.1007/S00362-012-0457-YMaRDI QIDQ2392710zbMATH OpenOpenAlexFDO

Authors J. F. Rosco, Harry Joe

Publication date 2 August 2013

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00362-012-0457-y

zbMATH Keywords

quantilestail dependencesurvival copulaunivariate skewness

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Measures of association (correlation, canonical correlation, etc.) (62H20) Order statistics; empirical distribution functions (62G30)

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Cites work

• scientific article; zbMATH DE number 1134711 (Why is no real title available?)
• A comparison of quantile estimators
• An introduction to copulas.
• Dependence of Stock Returns in Bull and Bear Markets
• Extremes of nonexchangeability
• How non-symmetric can a copula be?
• Inequalities: theory of majorization and its applications
• Measures of non-exchangeability for bivariate random vectors
• Measures of radial asymmetry for bivariate random vectors
• Pair-copula constructions of multiple dependence
• Parametric families of multivariate distributions with given margins
• Tail order and intermediate tail dependence of multivariate copulas
• The Discrete Student's $t$ Distribution
• Understanding Relationships Using Copulas
• Vine copulas with asymmetric tail dependence and applications to financial return data
• Weak convergence of empirical copula processes

Cited in

(28)

• Estimating a bivariate tail: a copula based approach
• Maximum asymmetry of copulas revisited
• \(t\)-copula from the viewpoint of tail dependence matrices
• On tests of radial symmetry for bivariate copulas
• Copula-based measures of asymmetry between the lower and upper tail probabilities
• A measure of radial asymmetry for bivariate copulas based on Sobolev norm
• On degrees of asymmetry of a copula with respect to a track
• Copula diagnostics for asymmetries and conditional dependence
• A compendium of copulas
• Factor copula models for replicated spatial data
• Extreme semilinear copulas
• An order of asymmetry in copulas, and implications for risk management
• Consistent Estimation of Multiple Breakpoints in Dependence Measures
• Expansions for bivariate copulas
• On the construction of radially symmetric copulas in higher dimensions
• The integrated copula spectrum
• Bivariate copulas, norms and non-exchangeability
• Maximal asymmetry of bivariate copulas and consequences to measures of dependence
• A comprehensive extension of the FGM copula
• SELECTING BIVARIATE COPULA MODELS USING IMAGE RECOGNITION
• Tail-weighted measures of dependence
• Copula-based measures of reflection and permutation asymmetry and statistical tests
• On the degree of asymmetry of a quasi-copula with respect to a curve
• New measure of the bivariate asymmetry
• On uniform tail expansions of bivariate copulas
• Measures of radial asymmetry for bivariate random vectors
• Nonparametric tests for independence: a review and comparative simulation study with an application to malnutrition data in India
• Multivariate radial symmetry of copula functions: finite sample comparison in the i.i.d case

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