Extremal dependence of copulas: A tail density approach-Reference-Cited by-同舟云学术

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Extremal dependence of copulas: A tail density approach

Published:2013-02 Issue: Volume:114 Page:99-111
ISSN:0047-259X
Container-title:Journal of Multivariate Analysis
language:en
Short-container-title:Journal of Multivariate Analysis

Author:

Li Haijun,Wu Peiling

Funder

NSF

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 and Economics,2009

2. Tail asymptotics for the sum of two heavy-tailed dependent risks;Albrecher;Extremes,2006

3. Diversification of aggregate dependent risks;Alink;Insurance: Mathematics and Economics,2004

4. Analysis of the expected shortfall of aggregate dependent risks;Alink;ASTIN Bulletin,2005

5. Diversification for general copula dependence;Alink;Statistica Neerlandica,2007

Cited by 12 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Tail densities of skew-elliptical distributions;Journal of Multivariate Analysis;2019-05

2. Operator Tail Dependence of Copulas;Methodology and Computing in Applied Probability;2017-09-13

3. On Truncation Invariant Copulas and their Estimation;Dependence Modeling;2017-01-26

4. On Conditional Value at Risk (CoVaR) for tail-dependent copulas;Dependence Modeling;2017-01-26

5. A Note on Upper Tail Behavior of Liouville Copulas;Risks;2016-11-08

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