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Strength of tail dependence based on conditional tail expectation
16 references·1 citing·32 second hop
Strength of tail dependence based on conditional tail expectation (2013)Strength of tail dependence based on cond…Tail order and intermediate tail dependence of multivariate copulas (2011)Tail order and intermediate t…Vine copulas with asymmetric tail dependence and applications to financial return data (2010)Vine copulas with asymmetric …Dependence Modeling: Vine Copula Handbook (2010)Dependence Modeling: Vine Cop…Tail dependence functions and vine copulas (2009)Tail dependence functions and…Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Multivariate Archimedean copu…Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Multivariate Archimedean copu…The t Copula and Related Copulas (2007)The t Copula and Related Copu…Pair-copula constructions of multiple dependence (2007)Pair-copula constructions of …Non‐parametric Estimation of Tail Dependence (2005)Non‐parametric Estimation of …Tail dependence for elliptically contoured distributions (2002)Tail dependence for elliptica…Multivariate Extreme Value Distributions (2000)Multivariate Extreme Value Di…Dependence Measures for Extreme Value Analyses (1999)Dependence Measures for Extre…Multivariate Models and Dependence Concepts (1998)Multivariate Models and Depen…Modelling Extremal Events (1997)Modelling Extremal EventsStatistics for near independence in multivariate extreme values (1996)Statistics for near independe…Asymptotic approximations for probability integrals (1989)Asymptotic approximations for…PATHS AND INDICES OF MAXIMAL TAIL DEPENDENCE (2015)PATHS AND INDICES OF MAXIMAL …Extreme Values, Regular Variation and Point Processes (1987)Models for Exceedances Over High Thresholds (1990)An Introduction to Copulas (1999)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)A Conditional Approach for Multivariate Extreme Values (with Discussion) (2004)Forecast Verification (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)A review of copula models for economic time series (2012)Selecting and estimating regular vine copulae and application to financial returns (2012)Modeling Dependence with C- and D-Vine Copulas: The R Package CDVine (2013)Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Understanding Relationships Using Copulas (1998)Extreme-Value Copulas (2010)Asymptotics of empirical copula processes under non-restrictive smoothness assumptions (2012)A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities (2016)Extreme Correlation of International Equity Markets (2001)Estimating the tail-dependence coefficient: Properties and pitfalls (2005)Selecting copulas for risk management (2007)Modelling of extremal events in insurance and finance (1994)Copula Methods in Finance (2004)Construction of asymmetric multivariate copulas (2008)Models for construction of multivariate dependence – a comparison study (2008)Truncated regular vines in high dimensions with application to financial data (2012)A review of quantification methodologies for multi-hazard interrelationships (2019)Statistical Modeling of Spatial Extremes (2012)Empirical properties of asset returns: stylized facts and statistical issues (2001)Conditional value-at-risk for general loss distributions (2002)VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights (2002)Elliptical copulas: applicability and limitations (2003)Factor copula models for multivariate data (2013)
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  • 2015PATHS AND INDICES OF MAXIMAL TAIL DEPENDENCE22 cited