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Tail dependency in operational risk models
Sheikh, Ahraz; Gavin, John - In: Operational risk : practical approaches to implementation, (pp. 13-21). 2005
Persistent link: https://www.econbiz.de/10003285523
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Paths and indices of maximal tail dependence
Furman, Edward; Su, Jianxi; Zitikis, Ričardas - In: Astin bulletin : the journal of the International … 45 (2015) 3, pp. 661-678
Persistent link: https://www.econbiz.de/10011397592
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Asymptotically distribution-free goodness-of-fit testing for tail copulas
Can, Sami Umut; Einmahl, John H. J.; Khmaladze, Estate V.; … - 2014
Persistent link: https://www.econbiz.de/10011283328
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Construction and backtesting of a multi-factor stress-scenario for the stock market
Boldyrev, Kirill; Andrianov, Dmitry; Ivliev, Sergey - In: Financial econometrics and empirical market microstructure, (pp. 37-45). 2015
Persistent link: https://www.econbiz.de/10011326724
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Copula-GARCH time-varying tail dependence
Chen, Jiaqi; Gunther, Jeffery W. - In: 30th anniversary edition, (pp. 411-425). 2012
Persistent link: https://www.econbiz.de/10009711920
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A test for the portion of bivariate dependence in multivariate tail risk
Bormann, Carsten; Schienle, Melanie; Schaumburg, Julia - 2014
the stable tail dependence function, which is standard in extreme value theory for describing multivariate tail dependence …
Persistent link: https://www.econbiz.de/10010246746
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Nonparametric tests for constant tail dependence with an application to energy and finance
Bücher, Axel; Jäschke, Stefan; Wied, Dominik - 2013
Persistent link: https://www.econbiz.de/10009793510
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Tail dependence of the Gaussian copula revisited
Furman, Edward; Kuznetsov, Alexey; Su, Jianxi; Zitikis, … - In: Insurance / Mathematics & economics 69 (2016), pp. 97-103
Persistent link: https://www.econbiz.de/10011530927
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A note on upper tail behavior of Liouville copulas
Hua, Lei - In: Risks : open access journal 4 (2016) 4, pp. 1-10
The family of Liouville copulas is defined as the survival copulas of multivariate Liouville distributions, and it covers the Archimedean copulas constructed by Williamson’s d-transform. Liouville copulas provide a very wide range of dependence ranging from positive to negative dependence in...
Persistent link: https://www.econbiz.de/10011556499
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Distorted mix method for constructing copulas with tail dependence
Li, Lujun; Yuen, K. C.; Yang, Jingping - In: Insurance / Mathematics & economics 57 (2014), pp. 77-89
Persistent link: https://www.econbiz.de/10010402723