Tail order and intermediate tail dependence of multivariate copulas

DOI10.1016/J.JMVA.2011.05.011zbMATH Open1221.62079OpenAlexW2129995017MaRDI QIDQ634561FDOQ634561

Authors: Lei Hua, Harry Joe 

Publication date: 16 August 2011

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2011.05.011

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zbMATH Keywords

Laplace transformregular variationArchimedean copulatail asymmetryreflection symmetrymax-infinitely divisiblemaximal moment

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Inequalities; stochastic orderings (60E15)

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Cited In (70)

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• ASYMPTOTICS FOR SYSTEMIC RISK WITH DEPENDENT HEAVY-TAILED LOSSES
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• LOWER TAIL INDEPENDENCE OF HITTING TIMES OF TWO-DIMENSIONAL DIFFUSIONS
• The bivariate K-finite normal mixture ‘blanket’ copula

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