Tails of weakly dependent random vectors

DOI10.1016/j.jmva.2015.12.008zbMath1333.60044arXiv1402.4683OpenAlexW2197090424MaRDI QIDQ5964275

Peter Tankov

Publication date: 29 February 2016

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1402.4683

zbMATH Keywords

copulasregular variationGaussian mixturesasymptotic tail behaviortail dependence

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Large deviations (60F10) Limit theorems in probability theory (60F99)

Related Items (1)

An asymptotic characterization of hidden tail credit risk with actuarial applications

Uses Software

• QRM

Cites Work

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