Archimedean copulas, exchangeability, and max-stability

DOI10.2307/3215031MaRDI QIDQ4305641zbMATH OpenOpenAlexFDO

Authors Rocco Ballerini

Publication date 14 May 1995

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3215031

zbMATH Keywords

regular variationexchangeable sequence of random variablesmax-stable property

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stability and convergence of numerical methods for ordinary differential equations (65L20) Exchangeability for stochastic processes (60G09)

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Cited in

(14)

• Conditional excess risk measures and multivariate regular variation
• A dependent \(F^ \alpha\)-scheme
• Canonical spectral representation for exchangeable max-stable sequences
• Archimax copulas and invariance under transformations
• Extremal behavior of Archimedean copulas
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• A note on allocation of portfolio shares of random assets with Archimedean copula
• A note on the Galambos copula and its associated Berstein function
• scientific article; zbMATH DE number 5973798 (Why is no real title available?)
• Exchangeable copulas
• Extreme Value Theory and Archimedean Copulas
• Archimedean copulae and positive dependence
• Some applications of the Archimedean copulas in the proof of the almost sure central limit theorem for ordinary maxima
• Tails of multivariate Archimedean copulas

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