Modelling total tail dependence along diagonals

DOI10.1016/j.insmatheco.2007.01.002zbMath1142.62097OpenAlexW2107185495MaRDI QIDQ939329

Ming-Heng Zhang

Publication date: 22 August 2008

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.01.002

zbMATH Keywords

copuladependence structuremodel mixturequantitative risktotal tail dependence

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Statistics of extreme values; tail inference (62G32)

Related Items (19)

Unnamed Item ⋮ Construction of asymmetric copulas and its application in two-dimensional reliability modelling ⋮ The general tail dependence function in the Marshall-Olkin and other parametric copula models with an application to financial time series ⋮ An investigation on the relationship between return and trading volume: asymmetric V-type or asymmetric increasing-type pattern ⋮ Tail dependence of the Gaussian copula revisited ⋮ Multiple risk factor dependence structures: copulas and related properties ⋮ Structural change in the link between oil and the European stock market: implications for risk management ⋮ Multivariate extremes and the aggregation of dependent risks: examples and counter-examples ⋮ Zero-linear copulas ⋮ Unnamed Item ⋮ Constructing Copulas with Given Diagonal and Opposite Diagonal Sections ⋮ Multivariate patchwork copulas: a unified approach with applications to partial comonotonicity ⋮ Transformation of a copula using the associated co-copula ⋮ On copulas and their diagonals ⋮ Counterdiagonal/nonpositive tail dependence in vine copula constructions: application to portfolio management ⋮ OPPOSITE DIAGONAL SECTIONS OF QUASI-COPULAS AND COPULAS ⋮ Rectangular Patchwork for Bivariate Copulas and Tail Dependence ⋮ Absolutely Continuous Copulas with Given Diagonal Sections ⋮ Nonparametric estimation of general multivariate tail dependence and applications to financial time series

Uses Software

• QRM

Cites Work

• Bivariate extreme statistics. I
• An introduction to copulas. Properties and applications
• Using copulae to bound the value-at-risk for functions of dependent risks
• Diversification of aggregate dependent risks
• Estimating the tail-dependence coefficient: properties and pitfalls
• An approach to VaR for capital markets with Gaussian mixture
• Dependence measures for extreme value analyses
• A directory of coefficients of tail dependence
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