Strength of tail dependence based on conditional tail expectation
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Recommendations
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Cites work
- Asymptotic Analysis of Multivariate Tail Conditional Expectations
- Asymptotic approximations for probability integrals
- Dependence measures for extreme value analyses
- Expansions and Asymptotics for Statistics
- Extremal behavior of Archimedean copulas
- Extreme value properties of multivariate t copulas
- Families of Multivariate Distributions
- Fitting Time-Series Input Processes for Simulation
- From Archimedean to Liouville copulas
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- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- Intermediate tail dependence: a review and some new results
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
- Multivariate survival functions with a min-stable property
- Non-parametric Estimation of Tail Dependence
- Pair-copula constructions of multiple dependence
- Second order regular variation and conditional tail expectation of multiple risks
- Statistics for near independence in multivariate extreme values
- Structure de dépendance des lois de valeurs extrêmes bivariées
- Tail comonotonicity and conservative risk measures
- Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures
- Tail dependence for elliptically contoured distributions
- Tail dependence functions and vine copulas
- Tail order and intermediate tail dependence of multivariate copulas
- The t Copula and Related Copulas
- Thinning operations for modeling time series of counts -- a survey
- Time series models with univariate margins in the convolution-closed infinitely divisible class
- Vine copulas with asymmetric tail dependence and applications to financial return data
Cited in
(22)- The joint distribution of the sum and maximum of dependent Pareto risks
- Risk contagion under regular variation and asymptotic tail independence
- Tail dependence from a distributional point of view
- Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients
- Tail dependence and heavy tailedness in extreme risks
- Sample selection models with monotone control functions
- Approximate likelihood with proxy variables for parameter estimation in high-dimensional factor copula models
- A note on distortion effects on the strength of bivariate copula tail dependence
- Assessing bivariate tail non-exchangeable dependence
- Conditional excess risk measures and multivariate regular variation
- Conditional quantiles and tail dependence
- Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants
- Tail dependence of the Gaussian copula revisited
- Paths and indices of maximal tail dependence
- Asymptotics for systemic risk with dependent heavy-tailed losses
- Assessing high-risk scenarios by full-range tail dependence copulas
- Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
- Nearest-neighbor mixture models for non-Gaussian spatial processes
- Asymptotics of sum of heavy-tailed risks with copulas
- On joint marginal expected shortfall and associated contribution risk measures
- Tail dependence matrices and tests based on Spearman's and Kendall's
- Extremes for systemic expected shortfall and marginal expected shortfall in a multivariate continuous-time risk model
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