Semi-parametric models for the multivariate tail dependence function -- the asymptotically dependent case
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Publication:3552944
DOI10.1111/J.1467-9469.2008.00602.XzbMATH Open1195.62070OpenAlexW1601081745MaRDI QIDQ3552944FDOQ3552944
Authors: Claudia Klüppelberg, Gabriel Kuhn, Liang Peng 
Publication date: 22 April 2010
Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9469.2008.00602.x
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Cited In (38)
- Statistical models and methods for dependence in insurance data
- Efficient and accurate evaluation methods for concordance measures via functional tensor characterizations of copulas
- Generalized Pareto copulas: a key to multivariate extremes
- A simple non-parametric goodness-of-fit test for elliptical copulas
- On the residual dependence index of elliptical distributions
- A method of moments estimator of tail dependence
- Distorted mix method for constructing copulas with tail dependence
- Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence
- A method of moments estimator of tail dependence in meta-elliptical models
- Operator tail dependence of copulas
- On multivariate separating Hill estimator under estimated location and scatter
- Tail dependence between order statistics
- Relations between hidden regular variation and the tail order of copulas
- Toward a copula theory for multivariate regular variation
- Extremes for multivariate expectiles
- Goodness-of-fit test for tail copulas modeled by elliptical copulas
- Tail dependence measure for examining financial extreme co-movements
- Estimating the probability of a rare event via elliptical copulas
- Tail order and intermediate tail dependence of multivariate copulas
- Multivariate Hill Estimators
- Tail and nontail memory with applications to extreme value and robust statistics
- Asymptotic behaviour of multivariate default probabilities and default correlations under stress
- A semiparametric estimation procedure of dependence parameters in multivariate families of distributions
- Tail risk of multivariate regular variation
- Invariant dependence structures and Archimedean copulas
- Tails of weakly dependent random vectors
- Maximum likelihood estimation of elliptical tail
- Identifiability and estimation of meta-elliptical copula generators
- Adaptive estimation of the copula correlation matrix for semiparametric elliptical copulas
- Multivariate risk models under heavy-tailed risks
- Extremal \(t\) processes: elliptical domain of attraction and a spectral representation
- Extremes and regular variation
- Tail dependence functions and vine copulas
- Estimating asymptotic dependence functionals in multivariate regularly varying models
- Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions
- Behaviour of multivariate tail dependence coefficients
- Estimating the tail dependence function of an elliptical distribution
- ROCKET: robust confidence intervals via Kendall's tau for transelliptical graphical models
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