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ArticleTails of multivariate Archimedean copulas

Arthur Charpentier A2009

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Articlebronze2009

Tails of multivariate Archimedean copulas

Arthur Charpentier A · Johan Segers

124 citations·0/0 files stored·Journal of Multivariate Analysis

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

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References

1999An Introduction to Copulas 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2004Copula Methods in Finance 2007Everything You Always Wanted to Know about Copula Modeling but Were Afraid to Ask 1998Understanding Relationships Using Copulas 2003Modelling Dependence with Copulas and Applications to Risk Management 1999Dependence Measures for Extreme Value Analyses 1996Statistics for near independence in multivariate extreme values

Cited by

2011Asymptotics for risk capital allocations based on Conditional Tail Expectation 2011Second order regular variation and conditional tail expectation of multiple risks 2010Asymptotics of random contractions 2013Properties of hierarchical Archimedean copulas 2010Distorted Copulas: Constructions and Tail Dependence 2014Financial Engineering with Copulas Explained

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Year2009

Typearticle

Published2009-01-11

VenueJournal of Multivariate Analysis

ISSN-L0047-259X

Languageen

Citations124

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jmva.2008.12.015

openalex_workW1996904352

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2014

Copulas, diagonals, and tail dependence

2016CoVaR of families of copulas