Li, Deyuan; Peng, Liang - In: Statistics & Probability Letters 79 (2009) 8, pp. 1097-1104
Modeling and estimating a tail copula play an important role in forecasting rare events. Due to their easy simulation, elliptical copulas have been employed in risk management. Recently, Klppelberg, [Klppelber, C., Kuhn, G., Peng, L., 2007. Estimating the tail dependence function of an...