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Tail order and intermediate tail dependence of multivariate copulas · Study

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ArticleTail order and intermediate tail dependence of multivariate copulas

Lei Hua2011

OA

Articlebronze2011

Tail order and intermediate tail dependence of multivariate copulas

Lei Hua · Harry Joe

139 citations·0/0 files stored·Journal of Multivariate Analysis

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

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References

1999An Introduction to Copulas 1987Extreme Values, Regular Variation and Point Processes 2006MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*2007Pair-copula constructions of multiple dependence 2011Quantitative Risk Management 2006An Introduction to Copulas (Springer Series in Statistics)1999Dependence Measures for Extreme Value Analyses 1996Statistics for near independence in multivariate extreme values

Cited by

2011Second order regular variation and conditional tail expectation of multiple risks 2020Advances in statistical modeling of spatial extremes 2016Factor Copula Models for Replicated Spatial Data 2014Structured factor copula models: Theory, inference and computation 2015Conditional quantiles and tail dependence 2016Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests

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2010Copula Theory: An Introductionchapter · 7 shared references 2009Tails of multivariate Archimedean copulasarticle · 7 shared references 2013Simplified pair copula constructions—Limitations and extensionsarticle · 6 shared references 2010Copula-Based Measures of Multivariate Associationchapter · 6 shared references 2016Extreme risk modeling: An EVT–pair-copulas approach for financial stress testsarticle · 6 shared references 2011Extremal behavior of Archimedean copulasarticle · 6 shared references

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Year2011

Typearticle

Published2011-06-03

VenueJournal of Multivariate Analysis

ISSN-L0047-259X

Languageen

Citations139

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jmva.2011.05.011

openalex_workW2129995017

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2019

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2014Copulas, diagonals, and tail dependence