Tail dependence of the Gaussian copula revisited

DOI10.1016/j.insmatheco.2016.04.009zbMath1373.62223arXiv1607.04736OpenAlexW3124771618MaRDI QIDQ343977

Ričardas Zitikis, Edward Furman, Jianxi Su, Alexey Kuznetsov

Publication date: 21 November 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.04736

zbMATH Keywords

diagonalGaussian copulaindex of tail dependencemaximal tail dependencetail independence

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32)

Related Items (5)

LOWER TAIL INDEPENDENCE OF HITTING TIMES OF TWO-DIMENSIONAL DIFFUSIONS ⋮ Multiple risk factor dependence structures: copulas and related properties ⋮ Unnamed Item ⋮ Tail maximal dependence in bivariate models: estimation and applications ⋮ A STATISTICAL METHODOLOGY FOR ASSESSING THE MAXIMAL STRENGTH OF TAIL DEPENDENCE

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