Copula-based conditional tail indices

DOI10.1016/j.jmva.2023.105268MaRDI QIDQ6200942

Natalia Nolde, Joe, Harry, Vincenzo Coia

Publication date: 25 March 2024

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2023.105268

zbMATH Keywords

copula; regular variation; tail index; conditional distribution; vine

Mathematics Subject Classification ID

62H05: Characterization and structure theory for multivariate probability distributions; copulas

60G70: Extreme value theory; extremal stochastic processes

62J02: General nonlinear regression