Strength of tail dependence based on conditional tail expectation-Reference-Cited by-同舟云学术

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Strength of tail dependence based on conditional tail expectation

Published:2014-01 Issue: Volume:123 Page:143-159
ISSN:0047-259X
Container-title:Journal of Multivariate Analysis
language:en
Short-container-title:Journal of Multivariate Analysis

Author:

Hua Lei,Joe Harry

Funder

Northern Illinois University

NSERC

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Numerical Analysis,Statistics and Probability

Reference35 articles.

1. Pair-copula constructions of multiple dependence;Aas;Insurance: Mathematics & Economics,2009

2. Fitting time-series input processes for simulation;Biller;Operations Research,2005

3. Regular Variation;Bingham,1987

4. Asymptotic Approximations for Probability Integrals;Breitung,1994

5. Estimation of the marginal expected shortfall: the mean when a related variable is extreme;Cai,2012

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1. On joint marginal expected shortfall and associated contribution risk measures;Quantitative Finance;2024-07-02

2. Dependence on Tail Copula;J;2024-04-03

3. Nearest-Neighbor Mixture Models for Non-Gaussian Spatial Processes;Bayesian Analysis;2023-12-01

4. Asymptotics of Sum of Heavy-tailed Risks with Copulas;Methodology and Computing in Applied Probability;2023-11-13

5. Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks;Insurance: Mathematics and Economics;2023-07

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