Orthant tail dependence of multivariate extreme value distributions

DOI10.1016/j.jmva.2008.04.007zbMath1151.62041MaRDI QIDQ958921

Haijun Li

Publication date: 10 December 2008

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2008.04.007

zbMATH Keywords

copula; heavy tails; Archimedean copula; tail dependence; Marshall-Olkin distribution; contagion risk; multivariate extreme value distribution

Mathematics Subject Classification ID

62H10: Multivariate distribution of statistics

62P05: Applications of statistics to actuarial sciences and financial mathematics

62H20: Measures of association (correlation, canonical correlation, etc.)

62G32: Statistics of extreme values; tail inference

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