Extremal dependence of copulas: a tail density approach
type: Item
instance of: scholarly article
title: Extremal dependence of copulas: a tail density approach
zbMATH Open document ID: 1255.62154
author: Haijun Li
author: Peiling Wu
published in: Journal of Multivariate Analysis
publication date: 2013-01-16T00:00:00Z
Mathematics Subject Classification ID: 62H05
Mathematics Subject Classification ID: 62G32
Mathematics Subject Classification ID: 62H20
zbMATH DE Number: 6126030
zbMATH Keywords: tail dependence
zbMATH Keywords: regularly varying density
zbMATH Keywords: multivariate extremes
zbMATH Keywords: tail risk
zbMATH Keywords: vine copulas
MaRDI profile type: Publication
full work available at URL: j.jmva.2012.07.005
OpenAlex ID: W2051640039
DOI: 10.1016/J.JMVA.2012.07.005
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description: scientific article; zbMATH DE number 6126030