Tail order and intermediate tail dependence of multivariate copulas
From MaRDI portal
Recommendations
Cites work
- scientific article; zbMATH DE number 4030574 (Why is no real title available?)
- scientific article; zbMATH DE number 3738723 (Why is no real title available?)
- scientific article; zbMATH DE number 1085999 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- scientific article; zbMATH DE number 4000257 (Why is no real title available?)
- scientific article; zbMATH DE number 3256930 (Why is no real title available?)
- scientific article; zbMATH DE number 3273551 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- A directory of coefficients of tail dependence
- A new class of models for bivariate joint tails
- An introduction to copulas.
- Asymptotic approximations for probability integrals
- Asymptotic properties of type I elliptical random vectors
- Copula convergence theorems for tail events.
- Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
- Dependence measures for extreme value analyses
- Extreme value properties of multivariate \(t\) copulas
- Families of Multivariate Distributions
- Heavy-Tail Phenomena
- Life distributions. Structure of nonparametric, semiparametric, and parametric families.
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Multivariate distributions from mixtures of max-infinitely divisible distributions
- Multivariate survival functions with a min-stable property
- On multivariate Gaussian tails
- Pair-copula constructions of multiple dependence
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Semi-parametric models for the multivariate tail dependence function -- the asymptotically dependent case
- Some notions of multivariate positive dependence
- Statistics for near independence in multivariate extreme values
- Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions
- Tail dependence from a distributional point of view
- Tail dependence functions and vine copulas
- Tails of multivariate Archimedean copulas
Cited in
(70)- Assessing copula models for mixed continuous-ordinal variables
- Using copulas to model dependence between crude oil prices of west Texas intermediate and Brent-Europe
- Second-order regular variation inherited from Laplace-Stieltjes transforms
- Advances in statistical modeling of spatial extremes
- LOWER TAIL INDEPENDENCE OF HITTING TIMES OF TWO-DIMENSIONAL DIFFUSIONS
- Copula-based conditional tail indices
- Asymptotics of sum of heavy-tailed risks with copulas
- The bivariate K-finite normal mixture ‘blanket’ copula
- Multivariate directional tail-weighted dependence measures
- Max-convolution processes with random shape indicator kernels
- A statistical methodology for assessing the maximal strength of tail dependence
- Conditional quantiles and tail dependence
- Relations between hidden regular variation and the tail order of copulas
- On extremal dependence of block vectors
- On bivariate Kumaraswamy-distorted copulas
- The joint distribution of the sum and maximum of dependent Pareto risks
- Dependence properties of conditional distributions of some copula models
- Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients
- Geometric interpretation of the residual dependence coefficient
- Factor copula models for multivariate data
- Toward a copula theory for multivariate regular variation
- Multivariate models for dependent clusters of variables with conditional independence given aggregation variables
- Factor copula models for replicated spatial data
- Estimation of multivariate tail quantities
- Tail dependence and heavy tailedness in extreme risks
- Copulas, diagonals, and tail dependence
- An asymptotic characterization of hidden tail credit risk with actuarial applications
- Fragility index of block tailed vectors
- On the worst and least possible asymptotic dependence
- Measures of tail asymmetry for bivariate copulas
- Tail asymptotics for the bivariate skew normal
- Higher order tail densities of copulas and hidden regular variation
- Tail asymptotics for the bivariate equi-skew generalized hyperbolic distribution and its variance-gamma special case
- On a generalization of Archimedean copula family
- Extensions of Breiman's theorem of product of dependent random variables with applications to ruin theory
- Conditional normal extreme-value copulas
- Vine copulas with asymmetric tail dependence and applications to financial return data
- Multiple risk factor dependence structures: copulas and related properties
- Tail densities of skew-elliptical distributions
- Independence results for multivariate tail dependence coefficients
- Operator tail dependence of copulas
- Dependence Comparison of Multivariate Extremes via Stochastic Tail Orders
- Assessing bivariate tail non-exchangeable dependence
- Assessing high-risk scenarios by full-range tail dependence copulas
- On an interaction function for copulas
- Behaviour of multivariate tail dependence coefficients
- Model selection for discrete regular vine copulas
- Strength of tail dependence based on conditional tail expectation
- On a bivariate copula with both upper and lower full-range tail dependence
- Conditional excess risk measures and multivariate regular variation
- Tail dependence functions of the bivariate Hüsler-Reiss model
- Copula-based measures of reflection and permutation asymmetry and statistical tests
- scientific article; zbMATH DE number 7660129 (Why is no real title available?)
- Tail dependence measure for examining financial extreme co-movements
- Measuring non-exchangeable tail dependence using tail copulas
- Asymptotics for systemic risk with dependent heavy-tailed losses
- Tail negative dependence and its applications for aggregate loss modeling
- Four theorems and a financial crisis
- Structured factor copula models: theory, inference and computation
- Second order regular variation and conditional tail expectation of multiple risks
- Tail comonotonicity: properties, constructions, and asymptotic additivity of risk measures
- Tail-weighted measures of dependence
- Tail-weighted dependence measures with limit being the tail dependence coefficient
- The effect of aggregation on extremes from asymptotically independent light-tailed risks
- Multivariate dependence modeling based on comonotonic factors
- A general approach to full-range tail dependence copulas
- A note on distortion effects on the strength of bivariate copula tail dependence
- Construction of asymmetric copulas and its application in two-dimensional reliability modelling
- Intermediate tail dependence: a review and some new results
- Approximate likelihood with proxy variables for parameter estimation in high-dimensional factor copula models
This page was built for publication: Tail order and intermediate tail dependence of multivariate copulas
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q634561)
