The bivariate normal copula function is regularly varying

DOI10.1016/J.SPL.2011.06.003MaRDI QIDQ643238zbMATH OpenOpenAlexFDO

Authors Thomas Fung, Eugene Seneta

Publication date 28 October 2011

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2011.06.003

zbMATH Keywords

asymptotic tail dependenceinverse functions

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cites work

• A multivariate jump-driven financial asset model
• An introduction to copulas. Properties and applications
• scientific article; zbMATH DE number 5619427 (Why is no real title available?)
• scientific article; zbMATH DE number 3249395 (Why is no real title available?)
• Multivariate conditional versions of Spearman's rho and related measures of tail dependence
• Multivariate extremes, aggregation and dependence in elliptical distributions
• Quantile mechanics
• Regularly varying functions
• Tail dependence and skew distributions
• Tail dependence for elliptically contoured distributions
• Tail dependence for two skew t distributions
• Tail dependence of skewed grouped \(t\)-distributions
• The t Copula and Related Copulas

Cited in

(14)

• Quantile function expansion using regularly varying functions
• Regular variation, conditions of domain of attraction and the existence of the tail dependence function in the general dependence case: a copula approach
• Tail dependence functions of the bivariate Hüsler-Reiss model
• Convergence rate to a lower tail dependence coefficient of a skew-\(t\) distribution
• Tail dependence for skew Laplace distribution and skew Cauchy distribution
• The bivariate normal copula
• Asymptotic tail dependence of the normal copula
• Dynamic bivariate normal copula
• Tail dependence of the Gaussian copula revisited
• scientific article; zbMATH DE number 7660129 (Why is no real title available?)
• Tail dependence functions of two classes of bivariate skew distributions
• A theorem on the asymptotics of skew-normal type integrals
• Tail asymptotics for the bivariate skew normal
• On the regular variation of ratios of jointly Fréchet random variables

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