Tail dependence functions and vine copulas

Journal of Multivariate Analysis

Volumn 101, Issue 1, 2010, Pages 252-270

  Joe, Harry ^a   Li, Haijun ^b   Nikoloulopoulos, Aristidis K ^a  

^a UNIVERSITY OF BRITISH COLUMBIA   (Canada)

^b WASHINGTON STATE UNIVERSITY   (United States)

Author keywords

Archimedean copulas; C vine; Conditional tail; D vine; Extreme value

Indexed keywords

EID: 70350133634     PISSN: 0047259X     EISSN: 10957243     Source Type: Journal    
DOI: 10.1016/j.jmva.2009.08.002     Document Type: Article

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