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Tail dependence of skewed grouped t -distributions · Study

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ArticleTail dependence of skewed grouped t -distributions

Konrad Banachewicz2008

OA

Articlegreen2008

Tail dependence of skewed grouped t -distributions

Konrad Banachewicz · Aad van der Vaart

26 citations·0/0 files stored·Statistics & Probability Letters

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

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References

2002Correlation and Dependence in Risk Management: Properties and Pitfalls 2007The t Copula and Related Copulas 1998Multivariate Models and Dependence Concepts 2000A Directory of Coefficients of Tail Dependence 2005Extreme behaviour for bivariate elliptical distributions 2006On the extremal dependence coefficient of multivariate distributions 2009Thetcopula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management

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Details

Year2008

Typearticle

Published2008-03-10

VenueStatistics & Probability Letters

ISSN-L0167-7152

Languageen

Citations26

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.spl.2008.02.018

openalex_workW2098370752

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