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Strength of tail dependence based on conditional tail expectation · Study

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ArticleStrength of tail dependence based on conditional tail expectation

Lei Hua2013

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Articlebronze2013

Strength of tail dependence based on conditional tail expectation

Lei Hua · Harry Joe

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

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Probability and Risk Models Probability and Statistical Research Financial Risk and Volatility Modeling

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References

1997Modelling Extremal Events 2007Pair-copula constructions of multiple dependence 2007The t Copula and Related Copulas 1999Dependence Measures for Extreme Value Analyses 1996Statistics for near independence in multivariate extreme values 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions 1998Multivariate Models and Dependence Concepts

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2015PATHS AND INDICES OF MAXIMAL TAIL DEPENDENCE

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Year2013

Typearticle

Published2013-09-17

VenueJournal of Multivariate Analysis

ISSN-L0047-259X

Languageen

Citations34

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.jmva.2013.09.001

openalex_workW2093147385

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