Orthant tail dependence of multivariate extreme value distributions

DOI10.1016/j.jmva.2008.04.007zbMath1151.62041OpenAlexW1989948625MaRDI QIDQ958921

Haijun Li

Publication date: 10 December 2008

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2008.04.007

zbMATH Keywords

copulaheavy tailsArchimedean copulatail dependenceMarshall-Olkin distributioncontagion riskmultivariate extreme value distribution

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) 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)

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