Strength of tail dependence based on conditional tail expectation

DOI10.1016/j.jmva.2013.09.001zbMath1278.62074OpenAlexW2093147385MaRDI QIDQ391924

Lei Hua, Joe, Harry

Publication date: 13 January 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2013.09.001

zbMATH Keywords

copulastail behaviormaximum domain of attractionboundary conditional distributionsintermediate tail dependencestochastic increasingtail ordertail quadrant independence

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Multivariate analysis (62H99) Statistics of extreme values; tail inference (62G32)

Related Items (17)

Approximate likelihood with proxy variables for parameter estimation in high-dimensional factor copula models ⋮ Tail dependence of the Gaussian copula revisited ⋮ PATHS AND INDICES OF MAXIMAL TAIL DEPENDENCE ⋮ The joint distribution of the sum and maximum of dependent Pareto risks ⋮ Inference for the tail conditional allocation: large sample properties, insurance risk assessment, and compound sums of concomitants ⋮ Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks ⋮ Nearest-neighbor mixture models for non-Gaussian spatial processes ⋮ Asymptotics of sum of heavy-tailed risks with copulas ⋮ Assessing High-Risk Scenarios by Full-Range Tail Dependence Copulas ⋮ ASYMPTOTICS FOR SYSTEMIC RISK WITH DEPENDENT HEAVY-TAILED LOSSES ⋮ Risk contagion under regular variation and asymptotic tail independence ⋮ Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients ⋮ Assessing bivariate tail non-exchangeable dependence ⋮ Tail dependence and heavy tailedness in extreme risks ⋮ Conditional excess risk measures and multivariate regular variation ⋮ Sample selection models with monotone control functions ⋮ Conditional quantiles and tail dependence

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