Extremal dependence of copulas: A tail density approach
Year of publication: |
2013
|
---|---|
Authors: | Li, Haijun ; Wu, Peiling |
Published in: |
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 114.2013, C, p. 99-111
|
Publisher: |
Elsevier |
Subject: | Tail dependence | Regularly varying density | Multivariate extremes | Tail risk | Vine copula |
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