Tail dependence for multivariate copulas and its monotonicity

DOI10.1016/J.INSMATHECO.2007.08.008zbMath1152.62342OpenAlexW2073315293MaRDI QIDQ998294

Haijun Li, Yin Chan

Publication date: 28 January 2009

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.08.008

zbMATH Keywords

copulatail dependencemultivariate \(t\)-distributioninverse gamma distributionorthant dependenceregularly varying distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (6)

Choice of Copulas in Explaining Stock Market Contagion ⋮ On the identifiability of finite mixture of skew-normal and skew-\(t\) distributions ⋮ Asymptotic Analysis of Multivariate Tail Conditional Expectations ⋮ On Pearson-Kotz Dirichlet distributions ⋮ Behaviour of multivariate tail dependence coefficients ⋮ Toward a Copula Theory for Multivariate Regular Variation

Cites Work

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• Tail dependence comparison of survival Marshall-Olkin copulas
• An introduction to copulas. Properties and applications
• Tail dependence for elliptically contoured distributions
• On the extremal dependence coefficient of multivariate distributions

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