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Tails of multivariate Archimedean copulas

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Cited by:

  1. Li, Haijun & Wu, Peiling, 2013. "Extremal dependence of copulas: A tail density approach," Journal of Multivariate Analysis, Elsevier, vol. 114(C), pages 99-111.
  2. Hua, Lei & Joe, Harry, 2011. "Second order regular variation and conditional tail expectation of multiple risks," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 537-546.
  3. Jaworski Piotr, 2017. "On Truncation Invariant Copulas and their Estimation," Dependence Modeling, De Gruyter, vol. 5(1), pages 133-144, January.
  4. Elie, Bouri & Naji, Jalkh & Dutta, Anupam & Uddin, Gazi Salah, 2019. "Gold and crude oil as safe-haven assets for clean energy stock indices: Blended copulas approach," Energy, Elsevier, vol. 178(C), pages 544-553.
  5. Bikramjit Das & Vicky Fasen-Hartmann, 2023. "Aggregating heavy-tailed random vectors: from finite sums to L\'evy processes," Papers 2301.10423, arXiv.org.
  6. Jan-Frederik Mai & Steffen Schenk & Matthias Scherer, 2017. "Two Novel Characterizations of Self-Decomposability on the Half-Line," Journal of Theoretical Probability, Springer, vol. 30(1), pages 365-383, March.
  7. Stefan Aulbach & Michael Falk & Timo Fuller, 2019. "Testing for a $$\delta $$ δ -neighborhood of a generalized Pareto copula," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(3), pages 599-626, June.
  8. Elena Di Bernardino & Didier Rullière, 2017. "A note on upper-patched generators for Archimedean copulas," Post-Print hal-01347869, HAL.
  9. Mai Jan-Frederik, 2014. "A note on the Galambos copula and its associated Bernstein function," Dependence Modeling, De Gruyter, vol. 2(1), pages 1-8, March.
  10. Y Hoga, 2018. "A structural break test for extremal dependence in β-mixing random vectors," Biometrika, Biometrika Trust, vol. 105(3), pages 627-643.
  11. V'eronique Maume-Deschamps & Didier Rulli`ere & Khalil Said, 2017. "Asymptotic multivariate expectiles," Papers 1704.07152, arXiv.org, revised Jan 2018.
  12. Hélène Cossette & Etienne Marceau & Quang Huy Nguyen & Christian Y. Robert, 2019. "Tail Approximations for Sums of Dependent Regularly Varying Random Variables Under Archimedean Copula Models," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 461-490, June.
  13. Das Bikramjit & Fasen-Hartmann Vicky, 2019. "Conditional excess risk measures and multivariate regular variation," Statistics & Risk Modeling, De Gruyter, vol. 36(1-4), pages 1-23, December.
  14. Genest Christian & Mesfioui Mhamed & Nešlehová Johanna G., 2019. "On the asymptotic covariance of the multivariate empirical copula process," Dependence Modeling, De Gruyter, vol. 7(1), pages 279-291, January.
  15. Holger Drees, 2012. "Extreme value analysis of actuarial risks: estimation and model validation," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(2), pages 225-264, June.
  16. Bücher, Axel & Dette, Holger & Volgushev, Stanislav, 2012. "A test for Archimedeanity in bivariate copula models," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 121-132.
  17. Fontanari Andrea & Cirillo Pasquale & Oosterlee Cornelis W., 2020. "Lorenz-generated bivariate Archimedean copulas," Dependence Modeling, De Gruyter, vol. 8(1), pages 186-209, January.
  18. Jaworski Piotr, 2023. "On copulas with a trapezoid support," Dependence Modeling, De Gruyter, vol. 11(1), pages 1-23, January.
  19. Hua, Lei & Joe, Harry, 2011. "Tail order and intermediate tail dependence of multivariate copulas," Journal of Multivariate Analysis, Elsevier, vol. 102(10), pages 1454-1471, November.
  20. Hashorva, Enkelejd, 2015. "Extremes of aggregated Dirichlet risks," Journal of Multivariate Analysis, Elsevier, vol. 133(C), pages 334-345.
  21. Balakrishnan, N. & Hashorva, E., 2011. "On Pearson-Kotz Dirichlet distributions," Journal of Multivariate Analysis, Elsevier, vol. 102(5), pages 948-957, May.
  22. MICHIELS, Frederik & DE SCHEPPER, Ann, 2009. "Understanding copula transforms: A review of dependence properties," Working Papers 2009012, University of Antwerp, Faculty of Business and Economics.
  23. Charpentier, Arthur & Mussard, Stéphane & Ouraga, Téa, 2021. "Principal component analysis: A generalized Gini approach," European Journal of Operational Research, Elsevier, vol. 294(1), pages 236-249.
  24. Li, Jinzhu, 2022. "Asymptotic analysis of a dynamic systemic risk measure in a renewal risk model," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 38-56.
  25. Jaworski, Piotr, 2015. "Univariate conditioning of vine copulas," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 89-103.
  26. Zhang, Ran & Czado, Claudia & Min, Aleksey, 2011. "Efficient maximum likelihood estimation of copula based meta t-distributions," Computational Statistics & Data Analysis, Elsevier, vol. 55(3), pages 1196-1214, March.
  27. Bucher, Axel & Segers, Johan, 2013. "Extreme value copula estimation based on block maxima of a multivariate stationary time series," LIDAM Discussion Papers ISBA 2013049, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  28. Fontanari Andrea & Cirillo Pasquale & Oosterlee Cornelis W., 2020. "Lorenz-generated bivariate Archimedean copulas," Dependence Modeling, De Gruyter, vol. 8(1), pages 186-209, January.
  29. Hua, Lei, 2017. "On a bivariate copula with both upper and lower full-range tail dependence," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 94-104.
  30. Hua, Lei, 2015. "Tail negative dependence and its applications for aggregate loss modeling," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 135-145.
  31. Belzile, Léo R. & Nešlehová, Johanna G., 2017. "Extremal attractors of Liouville copulas," Journal of Multivariate Analysis, Elsevier, vol. 160(C), pages 68-92.
  32. Xie, Jiehua & Lin, Feng & Yang, Jingping, 2017. "On a generalization of Archimedean copula family," Statistics & Probability Letters, Elsevier, vol. 125(C), pages 121-129.
  33. Elena Di Bernardino & Didier Rullière, 2016. "On tail dependence coefficients of transformed multivariate Archimedean copulas," Post-Print hal-00992707, HAL.
  34. Kurowicka, Dorota & van Horssen, Wim T., 2015. "On an interaction function for copulas," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 127-142.
  35. Asimit, Alexandru V. & Furman, Edward & Tang, Qihe & Vernic, Raluca, 2011. "Asymptotics for risk capital allocations based on Conditional Tail Expectation," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 310-324.
  36. Diakarya Barro & Moumouni Diallo & Remi Guillaume Bagré, 2016. "Spatial Tail Dependence and Survival Stability in a Class of Archimedean Copulas," International Journal of Mathematics and Mathematical Sciences, Hindawi, vol. 2016, pages 1-8, July.
  37. Lars Nørvang Andersen & Patrick J. Laub & Leonardo Rojas-Nandayapa, 2018. "Efficient Simulation for Dependent Rare Events with Applications to Extremes," Methodology and Computing in Applied Probability, Springer, vol. 20(1), pages 385-409, March.
  38. Jaworski Piotr, 2017. "On Conditional Value at Risk (CoVaR) for tail-dependent copulas," Dependence Modeling, De Gruyter, vol. 5(1), pages 1-19, January.
  39. Bernardi, M. & Durante, F. & Jaworski, P., 2017. "CoVaR of families of copulas," Statistics & Probability Letters, Elsevier, vol. 120(C), pages 8-17.
  40. MICHIELS, Frederik & KOCH, Inge & DE SCHEPPR, Ann, 2008. "Exploring the ? copula construction method for Archimedean copulas: Discussion of three ? types," Working Papers 2008021, University of Antwerp, Faculty of Business and Economics.
  41. Okhrin Ostap & Okhrin Yarema & Schmid Wolfgang, 2013. "Properties of hierarchical Archimedean copulas," Statistics & Risk Modeling, De Gruyter, vol. 30(1), pages 21-54, March.
  42. Constantinescu, Corina & Hashorva, Enkelejd & Ji, Lanpeng, 2011. "Archimedean copulas in finite and infinite dimensions—with application to ruin problems," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 487-495.
  43. Elena Di Bernardino & Didier Rullière, 2016. "A note on upper-patched generators for Archimedean copulas," Working Papers hal-01347869, HAL.
  44. Michael Falk & Florian Wisheckel, 2018. "Multivariate Order Statistics: the Intermediate Case," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 80(1), pages 110-120, February.
  45. Bücher, Axel & Volgushev, Stanislav & Zou, Nan, 2019. "On second order conditions in the multivariate block maxima and peak over threshold method," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 604-619.
  46. Aulbach, Stefan & Falk, Michael & Hofmann, Martin, 2012. "The multivariate Piecing-Together approach revisited," Journal of Multivariate Analysis, Elsevier, vol. 110(C), pages 161-170.
  47. Weng, Chengguo & Zhang, Yi, 2012. "Characterization of multivariate heavy-tailed distribution families via copula," Journal of Multivariate Analysis, Elsevier, vol. 106(C), pages 178-186.
  48. Hashorva, Enkelejd & Pakes, Anthony G. & Tang, Qihe, 2010. "Asymptotics of random contractions," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 405-414, December.
  49. Su, Jianxi & Hua, Lei, 2017. "A general approach to full-range tail dependence copulas," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 49-64.
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