Tail dependence estimate in financial market risk management: Clayton-Gumbel copula approach
From MaRDI portal
Publication:3099486
zbMATH Open1229.91365MaRDI QIDQ3099486FDOQ3099486
Author name not available (Why is that?)
Publication date: 1 December 2011
Recommendations
- Tail dependence of the Gaussian copula revisited
- Empirical estimation of tail dependence using copulas: application to Asian markets
- Copulas, tail dependence and applications to the analysis of financial time series
- Modelling co-movements and tail dependency in the international stock market via copulae
- Asymmetric extreme interdependence in emerging equity markets
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cited In (8)
- Selection of mixed copula for association modeling with tied observations
- Using Copulas to Model Dependence Between Crude Oil Prices of West Texas Intermediate and Brent-Europe
- Empirical estimation of tail dependence using copulas: application to Asian markets
- Joint modelling of the body and tail of bivariate data
- Asymmetric extreme interdependence in emerging equity markets
- Title not available (Why is that?)
- A Compendium of Copulas
- Modelling co-movements and tail dependency in the international stock market via copulae
This page was built for publication: Tail dependence estimate in financial market risk management: Clayton-Gumbel copula approach
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3099486)
