The general tail dependence function in the Marshall-Olkin and other parametric copula models with an application to financial time series

DOI10.1007/S13571-020-00241-YOpenAlexW3142524381MaRDI QIDQ2135592

Adán Díaz-Hernández, Yuri Salazar Flores

Publication date: 9 May 2022

Published in: Sankhyā. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13571-020-00241-y

zbMATH Keywords

extreme value copulashierarchical Archimedean copulasMarshall-Olkin copulasfinancial asset returnsnonpositive tail dependence

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• QRM

Cites Work

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• A generalized bivariate exponential distribution

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