Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions
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Cites work
- A characterization of multivariate regular variation.
- An introduction to copulas.
- Extreme value properties of multivariate t copulas
- Extreme Values in Finance, Telecommunications, and the Environment
- Heavy-Tail Phenomena
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 4030574 (Why is no real title available?)
- scientific article; zbMATH DE number 45785 (Why is no real title available?)
- scientific article; zbMATH DE number 605729 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- Multivariate extremes, aggregation and dependence in elliptical distributions
- On the extremal dependence coefficient of multivariate distributions
- Orthant tail dependence of multivariate extreme value distributions
- Regular variation of GARCH processes.
- Semi-parametric models for the multivariate tail dependence function -- the asymptotically dependent case
- Tail dependence comparison of survival Marshall-Olkin copulas
- Tail dependence for elliptically contoured distributions
- Tail dependence functions and vine copulas
Cited in
(29)- Tail dependence for elliptically contoured distributions
- Operator tail dependence of copulas
- On a bivariate copula with both upper and lower full-range tail dependence
- Extremes for multivariate expectiles
- Regular variation, conditions of domain of attraction and the existence of the tail dependence function in the general dependence case: a copula approach
- Tails of correlation mixtures of elliptical copulas
- Higher order tail densities of copulas and hidden regular variation
- Uniform asymptotics for a multi-dimensional time-dependent risk model with multivariate regularly varying claims and stochastic return
- Extremal properties of M4 processes
- Toward a copula theory for multivariate regular variation
- Choice of Copulas in Explaining Stock Market Contagion
- Extension of de Bruijn's identity to dependent non-Gaussian noise channels
- Dense classes of multivariate extreme value distributions
- Tail risk of multivariate regular variation
- On extremal dependence of block vectors
- Asymptotic Analysis of Multivariate Tail Conditional Expectations
- Intermediate tail dependence: a review and some new results
- Relations between hidden regular variation and the tail order of copulas
- Discussion on “Asymptotic Analysis of Multivariate Tail Conditional Expectations,” by Li Zhu and Haijun Li, Volume 16(3)
- Asymptotic analysis of the loss given default in the presence of multivariate regular variation
- Tail order and intermediate tail dependence of multivariate copulas
- Multivariate regularly varying insurance and financial risks in multidimensional risk models
- Empirical likelihood based testing for multivariate regular variation
- Random vectors in the presence of a single big jump
- Tail dependence between order statistics
- Characterization of multivariate heavy-tailed distribution families via copula
- The weak tail dependence coefficient of the elliptical generalized hyperbolic distribution
- Orthant tail dependence of multivariate extreme value distributions
- Tail dependence for multivariate copulas and its monotonicity
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