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A Directory of Coefficients of Tail Dependence · Study

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ArticleA Directory of Coefficients of Tail Dependence

Janet E. Heffernan2000

Article2000

A Directory of Coefficients of Tail Dependence

Janet E. Heffernan

144 citations·0/0 files stored·Extremes

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Probability and Risk Models Statistical Distribution Estimation and Applications Financial Risk and Volatility Modeling

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References

1999An Introduction to Copulas 1987Extreme Values, Regular Variation and Point Processes 1999Dependence Measures for Extreme Value Analyses 1996Statistics for near independence in multivariate extreme values 1988Bivariate Extreme Value Theory: Models and Estimation 1991Modelling Extreme Multivariate Events 1977Limit theory for multivariate sample extremes 1997A nonparametric estimation procedure for bivariate extreme value copulas

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2019A review of quantification methodologies for multi-hazard interrelationships 2003Diagnostics for Dependence within Time Series Extremes 2004Characterizations and Examples of Hidden Regular Variation 2006Copulas: A Review and Recent Developments 2010Copula-Based Measures of Multivariate Association 2008A New Class of Models for Bivariate Joint Tails 2003

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2003Tail Dependence from a Distributional Point of Viewarticle · 10 shared references 2008A New Class of Models for Bivariate Joint Tailsarticle · 9 shared references 2019A review of quantification methodologies for multi-hazard interrelationshipsarticle · 8 shared references 2000Bivariate Distributions with Given Extreme Value Attractorarticle · 8 shared references 2015Likelihood estimators for multivariate extremesarticle · 8 shared references 2009On the estimation and application of max-stable processesarticle · 8 shared references

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Year2000

Typearticle

Published2000-09-01

VenueExtremes

ISSN-L1386-1999

Languagefr

Citations144

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1023/a:1011459127975

openalex_workW1580846952

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Tail Dependence from a Distributional Point of View

2005Empirical estimation of tail dependence using copulas: application to Asian markets