Tail maximal dependence in bivariate models: estimation and applications

DOI10.3103/S1066530722040032OpenAlexW4323060221MaRDI QIDQ2693224

Ning Sun, Chen Yang, Ričardas Zitikis

Publication date: 17 March 2023

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2207.13248

zbMATH Keywords

copulasmaximal tail dependencebivariate time seriesfinancial instrumentsextreme co-movements

Mathematics Subject Classification ID

Statistics (62-XX)

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