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ArticleThreshold copulas and positive dependence

Fabrizio Durante2008

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Articlegreen2008

Threshold copulas and positive dependence

Fabrizio Durante · Rachele Foschi · Fabio Spizzichino

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

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

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References

2005Quantitative Risk Management: Concepts, Techniques, and Tools 2006Quantitative Risk Management: Concepts, Techniques, and Tools 2006An Introduction to Copulas (Springer Series in Statistics)2002Copula convergence theorems for tail events 2003Tail Dependence from a Distributional Point of View 2006Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition 2006Limiting dependence structures for tail events, with applications to credit derivatives

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Details

Year2008

Typearticle

Published2008-04-30

VenueStatistics & Probability Letters

ISSN-L0167-7152

Languageen

Citations24

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.spl.2008.04.013

openalex_workW2107859768

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