scientific article; zbMATH DE number 7660129

DOI10.11329/JJSSJ.51.157MaRDI QIDQ5879924zbMATH OpenFDO

Authors Toshinao Yoshiba

Publication date 7 March 2023

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A directory of coefficients of tail dependence
• Approximate distributions of order statistics. With applications to nonparametric statistics
• Asymptotic tail dependence of the normal copula
• Copula-based measures of asymmetry between the lower and upper tail probabilities
• Dependence measures for extreme value analyses
• Dependence modeling with copulas
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• Maximum likelihood estimation of skew-t copulas with its applications to stock returns
• Multivariate extreme models based on underlying skew-t and skew-normal distributions
• Multivariate extreme value theory and D-norms
• Multivariate extremes of generalized skew-normal distributions
• Statistics for near independence in multivariate extreme values
• Tail asymptotics for the bivariate skew normal
• Tail densities of skew-elliptical distributions
• Tail dependence for two skew t distributions
• Tail dependence of skewed grouped \(t\)-distributions
• Tail dependence of the Gaussian copula revisited
• Tail order and intermediate tail dependence of multivariate copulas
• The bivariate normal copula function is regularly varying
• The multivariate skew-normal distribution
• The t Copula and Related Copulas

Cited in

(1)

• An asymptotic characterization of hidden tail credit risk with actuarial applications

Describes a project that uses

Uses Software

• CopulaModel

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