Tail dependence estimate in financial market risk management: Clayton-Gumbel copula approach

zbMATH Open1229.91365MaRDI QIDQ3099486FDOQ3099486

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Publication date: 1 December 2011

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zbMATH Keywords

tail dependencecopulasrisk measuresEGARCH model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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• 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

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