Strength of tail dependence based on conditional tail expectation

Journal of Multivariate Analysis

Volumn 123, Issue , 2014, Pages 143-159

  Hua, Lei ^a   Joe, Harry ^b  

^a NORTHERN ILLINOIS UNIVERSITY   (United States)

^b UNIVERSITY OF BRITISH COLUMBIA   (Canada)

Author keywords

62H99; Boundary conditional distribution; Copula; Intermediate tail dependence; Maximum domain of attraction; Stochastic increasing; Tail behavior; Tail order; Tail quadrant independence

Indexed keywords

EID: 84884958142     PISSN: 0047259X     EISSN: 10957243     Source Type: Journal    
DOI: 10.1016/j.jmva.2013.09.001     Document Type: Article

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