SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Measures of tail asymmetry for bivariate copulas · Study

ArticleShelves

ArticleMeasures of tail asymmetry for bivariate copulas

J. F. Rosco2012

Article2012

Measures of tail asymmetry for bivariate copulas

J. F. Rosco · Harry Joe

34 citations·0/0 files stored·Statistical Papers

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

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

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 34 citations exist upstream.

References

1999An Introduction to Copulas 2001Extreme Correlation of International Equity Markets 2007Pair-copula constructions of multiple dependence 1998Understanding Relationships Using Copulas 2004Weak convergence of empirical copula processes 2010Dependence Modeling: Vine Copula Handbook 2010Vine copulas with asymmetric tail dependence and applications to financial return data 2011Tail order and intermediate tail dependence of multivariate copulas

Cited by

2016Factor Copula Models for Replicated Spatial Data

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2016Extreme risk modeling: An EVT–pair-copulas approach for financial stress testsarticle · 6 shared references 2008Measures of non-exchangeability for bivariate random vectorsarticle · 5 shared references 2012Tail comonotonicity: Properties, constructions, and asymptotic additivity of risk measuresarticle · 5 shared references 2016Goodness-of-fit test for specification of semiparametric copula dependence modelsarticle · 5 shared references 2014Tail-weighted measures of dependencearticle · 5 shared references 2013Copula Methods for Forecasting Multivariate Time Serieschapter · 4 shared references

Details

Year2012

Typearticle

Published2012-06-18

VenueStatistical Papers

ISSN-L0932-5026

Languageen

Citations34

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1007/s00362-012-0457-y

openalex_workW2000183763

Links

Imported from OpenAlex (CC0) — nothing here is generated.