Gaussian approximation of conditional elliptical copulas

DOI10.1016/j.jmva.2012.04.017zbMath1259.62039OpenAlexW1969366443MaRDI QIDQ444996

Enkelejd Hashorva, Piotr Jaworski

Publication date: 24 August 2012

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2012.04.017

zbMATH Keywords

conditional copulasGumbel max-domain of attractiontruncation of the first variableunivariate conditioning

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items

Asymptotics of multivariate conditional risk measures for Gaussian risks ⋮ Conditioning of copulas: transformations, invariance and measures of concordance ⋮ Approximation of some multivariate risk measures for Gaussian risks ⋮ Univariate conditioning of vine copulas

Uses Software

• QRM

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• An introduction to copulas.
• Threshold copulas and positive dependence
• Copula theory and its applications. Proceedings of the workshop held in Warsaw, Poland, 25--26 September 2009
• On the theory of elliptically contoured distributions
• Copula convergence theorems for tail events.
• Asymptotics of a boundary crossing probability of a Brownian bridge with general trend
• De copulis non est disputandum. Copulae: an overview
• Tail dependence from a distributional point of view
• Extreme-quantile tracking for financial time series
• Invariant dependence structure under univariate truncation
• Spatial contagion between financial markets: a copula-based approach
• Limiting dependence structures for tail events, with applications to credit derivatives
• The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis
• Gaussian Approximation of Conditional Elliptical Random Vectors