Comparing and quantifying tail dependence
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Publication:6607486
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Cites work
- An order of asymmetry in copulas, and implications for risk management
- Asymptotics of joint maxima for discontinuous random variables
- Dependence Comparison of Multivariate Extremes via Stochastic Tail Orders
- Is tail risk priced in credit default swap premia?
- Liquidity tail risk and credit default swap spreads
- Modeling Dependence in High Dimensions With Factor Copulas
- Modelling total tail dependence along diagonals
- Non-parametric Estimation of Tail Dependence
- On a bivariate copula with both upper and lower full-range tail dependence
- On the extremal dependence coefficient of multivariate distributions
- Risk- and value-based management for non-life insurers under solvency constraints
- Stochastic orders
- Tail dependence and heavy tailedness in extreme risks
- Tail negative dependence and its applications for aggregate loss modeling
- Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads
- Two-Sample Testing for Tail Copulas with an Application to Equity Indices
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