scientific article; zbMATH DE number 6775496

zbMath1369.62129MaRDI QIDQ5357850

Yuri Salazar Flores

Publication date: 18 September 2017

Full work available at URL: https://www.ine.pt/revstat/pdf/rs160101.pdf

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zbMATH Keywords

tail dependenceArchimedean copulaselliptical copulascopula theorynon-positive dependenceperfect dependence models

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Extreme value theory; extremal stochastic processes (60G70)

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The general tail dependence function in the Marshall-Olkin and other parametric copula models with an application to financial time series ⋮ Unnamed Item ⋮ Regular variation, conditions of domain of attraction and the existence of the tail dependence function in the general dependence case: a copula approach ⋮ Behaviour of multivariate tail dependence coefficients ⋮ Counterdiagonal/nonpositive tail dependence in vine copula constructions: application to portfolio management

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