The General Tail Dependence Function in the Marshall-Olkin and Other Parametric Copula Models with an Application to Financial Time Series
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s13571-020-00241-y.pdf
Reference26 articles.
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3. Embrechts, P., Lambrigger, D. and Wuthrich, M.V. (2009). Multivariate extremes and aggregation of dependent risks: examples and counter-examples. Extremes 12, 107–127.
4. Ferreira, M. (2013). Nonparametric estimation of the tail dependence coefficient. REVSTAT 11, 1–16.
5. Genest, C., Quessy, J. and Remillard, B. (2006). Goodness-of-fit procedures for copula models based on the integral probability transformation. Scand. J. Stat. 33, 337–366.
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