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Tail dependence for multivariate t -copulas and its monotonicity
7 references·0 citing·24 second hop
Tail dependence for multivariate t -copulas and its monotonicity (2007)Tail dependence for multivariate t -copul…Tail Dependence Comparison of Survival Marshall–Olkin Copulas (2007)Tail Dependence Comparison of…Selecting Copulas for Risk Management (2006)Selecting Copulas for Risk Ma…On the extremal dependence coefficient of multivariate distributions (2006)On the extremal dependence co…Handbook of Heavy Tailed Distributions in Finance (2003)Handbook of Heavy Tailed Dist…Handbook of heavy tailed distributions in finance (2003)Handbook of heavy tailed dist…Tail dependence for elliptically contoured distributions (2002)Tail dependence for elliptica…An Introduction to Copulas (1999)An Introduction to CopulasExtreme Values, Regular Variation and Point Processes (1987)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Multivariate conditional versions of Spearman's rho and related measures of tail dependence (2006)On the construction of copulas and quasi-copulas with given diagonal sections (2007)Orthant tail dependence of multivariate extreme value distributions (2008)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Commodity and Equity Markets: Some Stylized Facts from a Copula Approach (2012)An Overview of the Goodness-of-Fit Test Problem for Copulas (2013)Modelling Dependence with Copulas and Applications to Risk Management (2003)Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions (2009)-extendible copulas (2012)Modelling of extremal events in insurance and finance (1994)The t Copula and Related Copulas (2007)Tail dependence of skewed grouped t -distributions (2008)Copulas and Copula Models (2014)Models for construction of multivariate dependence – a comparison study (2008)Tail dependence functions and vine copulas (2009)Modelling oil price and exchange rate co-movements (2011)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Introductory Econometrics for Finance (2008)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Is there dependence and systemic risk between oil and renewable energy stock prices? (2014)
this work references cited by second hop

References

  • 1999An Introduction to Copulas7,743 cited
  • 2003Handbook of Heavy Tailed Distributions in Finance387 cited
  • 2003Handbook of heavy tailed distributions in finance351 cited
  • 2002Tail dependence for elliptically contoured distributions156 cited
  • 2006Selecting Copulas for Risk Management54 cited
  • 2006On the extremal dependence coefficient of multivariate distributions50 cited
  • 2007Tail Dependence Comparison of Survival Marshall–Olkin Copulas44 cited

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