Measuring non-exchangeable tail dependence using tail copulas
Year of publication: |
2023
|
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Authors: | Koike, Takaaki ; Kato, Shogo ; Hofert, Marius |
Published in: |
ASTIN bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge Univ. Press, ISSN 1783-1350, ZDB-ID 2148228-7. - Vol. 53.2023, 2, p. 466-487
|
Subject: | Copula | tail copula | tail dependence | tail dependence coefficient | tail dependence function | tail non-exchangeability | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Statistische Verteilung | Statistical distribution | Ausreißer | Outliers |
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