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Tail dependence of skewed grouped t -distributions
7 references·0 citing·29 second hop
Tail dependence of skewed grouped t -distributions (2008)Tail dependence of skewed grouped t -dist…Thetcopula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management (2009)Thetcopula with multiple para…The t Copula and Related Copulas (2007)The t Copula and Related Copu…On the extremal dependence coefficient of multivariate distributions (2006)On the extremal dependence co…Extreme behaviour for bivariate elliptical distributions (2005)Extreme behaviour for bivaria…Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Correlation and Dependence in…A Directory of Coefficients of Tail Dependence (2000)A Directory of Coefficients o…Multivariate Models and Dependence Concepts (1998)Multivariate Models and Depen…An Introduction to Copulas (1999)Coherent Measures of Risk (1999)The distribution of realized stock return volatility (2001)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Pair-copula constructions of multiple dependence (2007)The Econometrics of Financial Markets (2012)Extreme Values, Regular Variation and Point Processes (1987)Dependence Measures for Extreme Value Analyses (1999)Diagnostics for Dependence within Time Series Extremes (2003)Characterizations and Examples of Hidden Regular Variation (2004)A review of quantification methodologies for multi-hazard interrelationships (2019)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)A review of copula models for economic time series (2012)Selecting and estimating regular vine copulae and application to financial returns (2012)Statistical Modeling of Spatial Extremes (2012)Dependence structures for multivariate high-frequency data in finance (2003)Sampling nested Archimedean copulas (2008)Modeling and Management of Nonlinear Dependencies–Copulas in Dynamic Financial Analysis (2009)Maximum likelihood estimation of skew- t copulas with its applications to stock returns (2018)Copulae: An overview and recent developments (2021)Tail asymptotics under beta random scaling (2010)Extremal dependence of random scale constructions (2019)Tail dependence for multivariate t -copulas and its monotonicity (2007)Tail Dependence for Heavy-Tailed Scale Mixtures of Multivariate Distributions (2009)Copulas and Copula Models (2014)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)
this work references cited by second hop

References

  • 2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
  • 2007The t Copula and Related Copulas964 cited
  • 1998Multivariate Models and Dependence Concepts352 cited
  • 2000A Directory of Coefficients of Tail Dependence144 cited
  • 2005Extreme behaviour for bivariate elliptical distributions53 cited
  • 2006On the extremal dependence coefficient of multivariate distributions50 cited
  • 2009Thetcopula with multiple parameters of degrees of freedom: bivariate characteristics and application to risk management49 cited

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