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Modelling total tail dependence along diagonals · Study

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ArticleModelling total tail dependence along diagonals

Mingheng Zhang2007

Article2007

Modelling total tail dependence along diagonals

37 citations·0/0 files stored·Insurance Mathematics and Economics

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Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis Probability and Risk Models

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References

1999An Introduction to Copulas 2001Extreme Correlation of International Equity Markets 2005Quantitative Risk Management: Concepts, Techniques, and Tools 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 2007Measuring financial contagion: A Copula approach 1999Dependence Measures for Extreme Value Analyses 1973Random variables, joint distribution functions, and copulas 1999A non-random walk down Wall Street

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2012Copula-based multivariate input modeling 2013Multivariate patchwork copulas: A unified approach with applications to partial comonotonicity 2016Tail dependence of the Gaussian copula revisited

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Year2007

Typearticle

Published2007-01-26

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations37

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.insmatheco.2007.01.002

openalex_workW2107185495

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