The Limiting Properties of Copulas Under Univariate Conditioning

DOI10.1007/978-3-642-35407-6_7zbMath1273.62113OpenAlexW8391098MaRDI QIDQ2849528

Piotr Jaworski

Publication date: 20 September 2013

Published in: Copulae in Mathematical and Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-35407-6_7

zbMATH Keywords

extreme valueslimit setsunivariate conditioningsets of attractionchaotic naturemarket contagion

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32) Applications of dynamical systems (37N99)

Related Items (8)

On truncation invariant copulas and their estimation ⋮ A Test for Truncation Invariant Dependence ⋮ On conditional value at risk (CoVaR) for tail-dependent copulas ⋮ Conditioning of copulas: transformations, invariance and measures of concordance ⋮ Copulas, diagonals, and tail dependence ⋮ Truncation invariant copulas and a testing procedure ⋮ On the class of truncation invariant bivariate copulas under constraints ⋮ Univariate conditioning of vine copulas

Uses Software

• QRM

This page was built for publication: The Limiting Properties of Copulas Under Univariate Conditioning