Extremal dependence of copulas: A tail density approach

Journal of Multivariate Analysis

Volumn 114, Issue 1, 2013, Pages 99-111

  Li, Haijun ^a   Wu, Peiling ^a  

^a WASHINGTON STATE UNIVERSITY   (United States)

Author keywords

Multivariate extremes; Regularly varying density; Tail dependence; Tail risk; Vine copula

Indexed keywords

EID: 84867649221     PISSN: 0047259X     EISSN: 10957243     Source Type: Journal    
DOI: 10.1016/j.jmva.2012.07.005     Document Type: Article

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