Limiting Tail Dependence Copulas

DOI10.1080/03610920802604186zbMath1177.62071OpenAlexW1981525725MaRDI QIDQ3652792

Amir Ahmadi-Javid

Publication date: 16 December 2009

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610920802604186

zbMATH Keywords

extreme value theorymultivariate copulasAhmadi-Clayton familyinvariant copulas under truncationtail events modelingtotal limiting tail dependence copulastruncation-invariant copulas

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (2)

Estimating a bivariate tail: a copula based approach ⋮ Copulas with Truncation-Invariance Property

Cites Work

• Lower tail dependence for Archimedean copulas: characterizations and pitfalls
• Threshold copulas and positive dependence
• Copula convergence theorems for tail events.
• Tail dependence from a distributional point of view
• Limiting dependence structures for tail events, with applications to credit derivatives
• Copulas with Truncation-Invariance Property

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