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Extreme behavior of bivariate elliptical distributions

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  • Asimit, Alexandru V.
  • Jones, Bruce L.

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  • Asimit, Alexandru V. & Jones, Bruce L., 2007. "Extreme behavior of bivariate elliptical distributions," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 53-61, July.
    • Handle: RePEc:eee:insuma:v:41:y:2007:i:1:p:53-61
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    References listed on IDEAS

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    1. W. Breymann & A. Dias & P. Embrechts, 2003. "Dependence structures for multivariate high-frequency data in finance," Quantitative Finance, Taylor & Francis Journals, vol. 3(1), pages 1-14.
    2. Keith Vorkink & Douglas J. Hodgson & Oliver Linton, 2002. "Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(6), pages 617-639.
    3. Manzotti, A. & Pérez, Francisco J. & Quiroz, Adolfo J., 2002. "A Statistic for Testing the Null Hypothesis of Elliptical Symmetry," Journal of Multivariate Analysis, Elsevier, vol. 81(2), pages 274-285, May.
    4. Hashorva, Enkelejd, 2005. "Extremes of asymptotically spherical and elliptical random vectors," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 285-302, June.
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    Cited by:

    1. Balakrishnan, N. & Hashorva, E., 2011. "On Pearson-Kotz Dirichlet distributions," Journal of Multivariate Analysis, Elsevier, vol. 102(5), pages 948-957, May.
    2. Krajina, A., 2009. "A Method of Moments Estimator of Tail Dependence in Elliptical Copula Models," Discussion Paper 2009-42, Tilburg University, Center for Economic Research.
    3. Asimit, Alexandru V. & Gerrard, Russell & Hou, Yanxi & Peng, Liang, 2016. "Tail dependence measure for examining financial extreme co-movements," Journal of Econometrics, Elsevier, vol. 194(2), pages 330-348.
    4. Krajina, A., 2009. "A Method of Moments Estimator of Tail Dependence in Elliptical Copula Models," Other publications TiSEM f3f5a961-02ff-4a2b-ab93-4, Tilburg University, School of Economics and Management.
    5. Krajina, A., 2010. "An M-estimator of multivariate tail dependence," Other publications TiSEM 66518e07-db9a-4446-81be-c, Tilburg University, School of Economics and Management.
    6. Hashorva, Enkelejd, 2008. "Tail asymptotic results for elliptical distributions," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 158-164, August.
    7. Manner, Hans & Segers, Johan, 2011. "Tails of correlation mixtures of elliptical copulas," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 153-160, January.

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