On tail dependence coefficients of transformed multivariate Archimedean copulas
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DOI: 10.1016/j.fss.2015.08.030
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References listed on IDEAS
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Cited by:
- Elena Di Bernardino & Didier Rullière, 2017. "A note on upper-patched generators for Archimedean copulas," Post-Print hal-01347869, HAL.
- Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2018. "A novel multivariate risk measure: the Kendall VaR," Post-Print halshs-01467857, HAL.
- Matthieu Garcin & Dominique Guegan & Bertrand Hassani, 2017. "A novel multivariate risk measure: the Kendall VaR," Documents de travail du Centre d'Economie de la Sorbonne 17008r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Apr 2018.
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Keywords
Archimedean copulas; tail dependence coefficients; regular variation; transformations of Archimedean copulas.;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2016-03-23 (Econometrics)
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