Tail dependence for multivariate t -copulas and its monotonicity
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- Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2007.
"Selecting copulas for risk management,"
Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2405-2423, August.
- Koedijk, Kees & Verbeek, Marno & Kole, Erik, 2006. "Selecting Copulas for Risk Management," CEPR Discussion Papers 5652, C.E.P.R. Discussion Papers.
- Rafael Schmidt, 2002. "Tail dependence for elliptically contoured distributions," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 55(2), pages 301-327, May.
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Cited by:
- Li, Haijun & Wu, Peiling, 2013. "Extremal dependence of copulas: A tail density approach," Journal of Multivariate Analysis, Elsevier, vol. 114(C), pages 99-111.
- Otiniano, C.E.G. & Rathie, P.N. & Ozelim, L.C.S.M., 2015. "On the identifiability of finite mixture of Skew-Normal and Skew-t distributions," Statistics & Probability Letters, Elsevier, vol. 106(C), pages 103-108.
- Balaev, Alexey, 2014. "The copula based on multivariate t-distribution with vector of degrees of freedom," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 90-110.
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