Measures of tail asymmetry for bivariate copulas
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Publication:2392710
DOI10.1007/S00362-012-0457-YzbMATH Open1307.62157OpenAlexW2000183763MaRDI QIDQ2392710FDOQ2392710
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
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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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- Tail order and intermediate tail dependence of multivariate copulas
- A comparison of quantile estimators
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- The Discrete Student's $t$ Distribution
- Dependence of Stock Returns in Bull and Bear Markets
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
- Consistent Estimation of Multiple Breakpoints in Dependence Measures
- An order of asymmetry in copulas, and implications for risk management
- Expansions for bivariate copulas
- On the construction of radially symmetric copulas in higher dimensions
- The integrated copula spectrum
- Bivariate copulas, norms and non-exchangeability
- SELECTING BIVARIATE COPULA MODELS USING IMAGE RECOGNITION
- Maximal asymmetry of bivariate copulas and consequences to measures of dependence
- A comprehensive extension of the FGM copula
- 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
- On uniform tail expansions of bivariate copulas
- New measure of the bivariate asymmetry
- 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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