Toward a copula theory for multivariate regular variation
From MaRDI portal
Recommendations
- Characterization of multivariate heavy-tailed distribution families via copula
- Tail risk of multivariate regular variation
- Regular variation, conditions of domain of attraction and the existence of the tail dependence function in the general dependence case: a copula approach
- Multivariate extreme value theory and its usefulness in understanding risk
- Relations between hidden regular variation and the tail order of copulas
Cites work
- scientific article; zbMATH DE number 4030574 (Why is no real title available?)
- scientific article; zbMATH DE number 469373 (Why is no real title available?)
- scientific article; zbMATH DE number 1026574 (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 2231189 (Why is no real title available?)
- A characterization of Gumbel's family of extreme value distributions
- Additivity properties for value-at-risk under archimedean dependence and heavy-tailedness
- An introduction to copulas.
- Asymptotic Analysis of Multivariate Tail Conditional Expectations
- Asymptotic Value-at-Risk Estimates for Sums of Dependent Random Variables
- Asymptotic results for the sum of dependent non-identically distributed random variables
- Best attainable rates of convergence for estimators of the stable tail dependence function
- Characterizations and examples of hidden regular variation
- Copula theory and its applications. Proceedings of the workshop held in Warsaw, Poland, 25--26 September 2009
- Dependence structure of risk factors and diversification effects
- Diversification of aggregate dependent risks
- Domains of attraction of multivariate extreme value distributions
- Duality of the Multivariate Distributions of Marshall–Olkin Type and Tail Dependence
- Estimating a multidimensional extreme-value distribution
- Extremal dependence of copulas: a tail density approach
- Extreme value properties of multivariate t copulas
- Extreme value theory. An introduction.
- Extremes and related properties of random sequences and processes
- Heavy-Tail Phenomena
- Hidden regular variation and the rank transform
- Hidden regular variation, second order regular variation and asymptotic independence
- High risk scenarios and extremes. A geometric approach
- Laws of small numbers: extremes and rare events.
- Limit distributions for sums of independent random vectors. Heavy tails in theory and practice
- Limit theory for multivariate sample extremes
- Maxima of normal random vectors: Between independence and complete dependence
- Multivariate extreme models based on underlying skew-t and skew-normal distributions
- Multivariate extremes and the aggregation of dependent risks: examples and counter-examples
- Nonparametric estimation of an extreme-value copula in arbitrary dimensions
- Nonparametric estimation of the spectral measure of an extreme value distribution.
- On optimal portfolio diversification with respect to extreme risks
- On regular variation of probability densities
- On the Tail Behavior of Sums of Dependent Risks
- On uniform tail expansions of bivariate copulas
- On uniform tail expansions of multivariate copulas and wide convergence of measures
- Ordering of multivariate risk models with respect to extreme portfolio losses
- Orthant tail dependence of multivariate extreme value distributions
- Probabilistic Applications of Tauberian Theorems
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Regular variation of GARCH processes.
- Regularly varying functions
- Semi-parametric models for the multivariate tail dependence function -- the asymptotically dependent case
- Statistics of Extremes
- Sur la distribution limite du terme maximum d'une série aléatoire
- Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions
- Tail dependence comparison of survival Marshall-Olkin copulas
- Tail dependence for elliptically contoured distributions
- Tail dependence for multivariate copulas and its monotonicity
- Tail dependence functions and vine copulas
- Tail order and intermediate tail dependence of multivariate copulas
- Tail risk of multivariate regular variation
- Tails of multivariate Archimedean copulas
- The Pareto Copula, Aggregation of Risks, and the Emperor's Socks
- Uncertainty Analysis with High Dimensional Dependence Modelling
- Vines -- a new graphical model for dependent random variables.
Cited in
(15)- scientific article; zbMATH DE number 6811494 (Why is no real title available?)
- Regular variation, conditions of domain of attraction and the existence of the tail dependence function in the general dependence case: a copula approach
- Sparse regular variation
- Operator tail dependence of copulas
- Relations between hidden regular variation and the tail order of copulas
- Threshold selection for multivariate heavy-tailed data
- Higher order tail densities of copulas and hidden regular variation
- On the foundations of multivariate heavy-tail analysis
- Modality for scenario analysis and maximum likelihood allocation
- On uniform tail expansions of multivariate copulas and wide convergence of measures
- Characterization of multivariate heavy-tailed distribution families via copula
- How to model multivariate extremes if one must?
- Copulas, diagonals, and tail dependence
- On the joint tail behavior of randomly weighted sums of dependent random variables with applications to risk theory
- Truncation invariant copulas and a testing procedure
This page was built for publication: Toward a copula theory for multivariate regular variation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2849531)
