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Tail order and intermediate tail dependence of multivariate copulas

Citations

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Cited by:

  1. Li, Haijun & Wu, Peiling, 2013. "Extremal dependence of copulas: A tail density approach," Journal of Multivariate Analysis, Elsevier, vol. 114(C), pages 99-111.
  2. Fan Yang & Yi Zhang, 2024. "Asymptotics of Sum of Heavy-tailed Risks with Copulas," Papers 2411.09657, arXiv.org.
  3. Bikramjit Das & Vicky Fasen-Hartmann, 2023. "Aggregating heavy-tailed random vectors: from finite sums to L\'evy processes," Papers 2301.10423, arXiv.org.
  4. Krupskii, Pavel & Huser, Raphaël, 2024. "Max-convolution processes with random shape indicator kernels," Journal of Multivariate Analysis, Elsevier, vol. 203(C).
  5. Takaaki Koike & Liyuan Lin & Ruodu Wang, 2022. "Joint mixability and notions of negative dependence," Papers 2204.11438, arXiv.org, revised Jan 2024.
  6. Das Bikramjit & Fasen-Hartmann Vicky, 2019. "Conditional excess risk measures and multivariate regular variation," Statistics & Risk Modeling, De Gruyter, vol. 36(1-4), pages 1-23, December.
  7. Pavel Krupskii & Harry Joe, 2015. "Tail-weighted measures of dependence," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(3), pages 614-629, March.
  8. Fung, Thomas & Seneta, Eugene, 2021. "Tail asymptotics for the bivariate equi-skew generalized hyperbolic distribution and its Variance-Gamma special case," Statistics & Probability Letters, Elsevier, vol. 178(C).
  9. Pavel Krupskii & Harry Joe, 2022. "Approximate likelihood with proxy variables for parameter estimation in high-dimensional factor copula models," Statistical Papers, Springer, vol. 63(2), pages 543-569, April.
  10. Li, Haijun & Hua, Lei, 2015. "Higher order tail densities of copulas and hidden regular variation," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 143-155.
  11. Krupskii, Pavel & Joe, Harry, 2013. "Factor copula models for multivariate data," Journal of Multivariate Analysis, Elsevier, vol. 120(C), pages 85-101.
  12. Mangold, Benedikt, 2017. "New concepts of symmetry for copulas," FAU Discussion Papers in Economics 06/2017, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics, revised 2017.
  13. Arendarczyk, Marek & Kozubowski, Tomasz. J. & Panorska, Anna K., 2018. "The joint distribution of the sum and maximum of dependent Pareto risks," Journal of Multivariate Analysis, Elsevier, vol. 167(C), pages 136-156.
  14. Asimit, Alexandru V. & Gerrard, Russell, 2016. "On the worst and least possible asymptotic dependence," Journal of Multivariate Analysis, Elsevier, vol. 144(C), pages 218-234.
  15. Xin Liu & Jiang Wu & Chen Yang & Wenjun Jiang, 2018. "A Maximal Tail Dependence-Based Clustering Procedure for Financial Time Series and Its Applications in Portfolio Selection," Risks, MDPI, vol. 6(4), pages 1-26, October.
  16. Pan Shenyi & Joe Harry, 2024. "Assessing copula models for mixed continuous-ordinal variables," Dependence Modeling, De Gruyter, vol. 12(1), pages 1-18.
  17. Haijun Li, 2018. "Operator Tail Dependence of Copulas," Methodology and Computing in Applied Probability, Springer, vol. 20(3), pages 1013-1027, September.
  18. Kurowicka, Dorota & van Horssen, Wim T., 2015. "On an interaction function for copulas," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 127-142.
  19. Sessi Tokpavi & Christophe Boucher, 2018. "Stocks and Bonds: Flight-to-Safety for Ever?," EconomiX Working Papers 2018-39, University of Paris Nanterre, EconomiX.
  20. Hua, Lei & Joe, Harry, 2014. "Strength of tail dependence based on conditional tail expectation," Journal of Multivariate Analysis, Elsevier, vol. 123(C), pages 143-159.
  21. 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.
  22. Sepanski, Jungsywan H., 2020. "A note on distortion effects on the strength of bivariate copula tail dependence," Statistics & Probability Letters, Elsevier, vol. 166(C).
  23. Pavel Krupskii, 2017. "Copula-based measures of reflection and permutation asymmetry and statistical tests," Statistical Papers, Springer, vol. 58(4), pages 1165-1187, December.
  24. Su, Jianxi & Hua, Lei, 2017. "A general approach to full-range tail dependence copulas," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 49-64.
  25. César Garcia-Gomez & Ana Pérez & Mercedes Prieto-Alaiz, 2022. "The evolution of poverty in the EU-28: a further look based on multivariate tail dependence," Working Papers 605, ECINEQ, Society for the Study of Economic Inequality.
  26. Hua, Lei & Joe, Harry, 2011. "Second order regular variation and conditional tail expectation of multiple risks," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 537-546.
  27. Joe, Harry & Sang, Peijun, 2016. "Multivariate models for dependent clusters of variables with conditional independence given aggregation variables," Computational Statistics & Data Analysis, Elsevier, vol. 97(C), pages 114-132.
  28. Joe, Harry & Li, Haijun, 2019. "Tail densities of skew-elliptical distributions," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 421-435.
  29. Himchan Jeong & Dipak Dey, 2020. "Application of a Vine Copula for Multi-Line Insurance Reserving," Risks, MDPI, vol. 8(4), pages 1-23, October.
  30. Balakrishnan, N. & Hashorva, E., 2013. "Scale mixtures of Kotz–Dirichlet distributions," Journal of Multivariate Analysis, Elsevier, vol. 113(C), pages 48-58.
  31. Wu, Shaomin, 2014. "Construction of asymmetric copulas and its application in two-dimensional reliability modelling," European Journal of Operational Research, Elsevier, vol. 238(2), pages 476-485.
  32. Panagiotelis, Anastasios & Czado, Claudia & Joe, Harry & Stöber, Jakob, 2017. "Model selection for discrete regular vine copulas," Computational Statistics & Data Analysis, Elsevier, vol. 106(C), pages 138-152.
  33. Christophe Boucher & Sessi Tokpavi, 2019. "Stocks and Bonds: Flight-to-Safety for Ever?," Post-Print hal-02067096, HAL.
  34. Jianxi Su & Edward Furman, 2016. "Multiple risk factor dependence structures: Copulas and related properties," Papers 1610.02126, arXiv.org.
  35. Das, Bikramjit & Fasen-Hartmann, Vicky, 2024. "On heavy-tailed risks under Gaussian copula: The effects of marginal transformation," Journal of Multivariate Analysis, Elsevier, vol. 202(C).
  36. Hua, Lei & Joe, Harry, 2017. "Multivariate dependence modeling based on comonotonic factors," Journal of Multivariate Analysis, Elsevier, vol. 155(C), pages 317-333.
  37. Lei Hua, 2016. "A Note on Upper Tail Behavior of Liouville Copulas," Risks, MDPI, vol. 4(4), pages 1-10, November.
  38. Christophe Boucher & Sessi Tokpavi, 2018. "Stocks and Bonds: Flight-to-Safety for Ever?," Working Papers hal-04141705, HAL.
  39. Lorenzo Ricci & David Veredas, 2012. "TailCoR," Working Papers 1227, Banco de España.
    • Sla{dj}ana Babi'c & Christophe Ley & Lorenzo Ricci & David Veredas, 2020. "TailCoR," Papers 2011.14817, arXiv.org.
  40. Bikramjit Das & Vicky Fasen-Hartmann, 2023. "On heavy-tailed risks under Gaussian copula: the effects of marginal transformation," Papers 2304.05004, arXiv.org.
  41. Hua, Lei & Polansky, Alan & Pramanik, Paramahansa, 2019. "Assessing bivariate tail non-exchangeable dependence," Statistics & Probability Letters, Elsevier, vol. 155(C), pages 1-1.
  42. Raphaël Huser & Thomas Opitz & Emeric Thibaud, 2021. "Max‐infinitely divisible models and inference for spatial extremes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(1), pages 321-348, March.
  43. Su, Jianxi & Furman, Edward, 2017. "Multiple risk factor dependence structures: Copulas and related properties," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 109-121.
  44. Nolde, Natalia, 2014. "Geometric interpretation of the residual dependence coefficient," Journal of Multivariate Analysis, Elsevier, vol. 123(C), pages 85-95.
  45. Hu, Shuang & Peng, Zuoxiang & Nadarajah, Saralees, 2022. "Tail dependence functions of the bivariate Hüsler–Reiss model," Statistics & Probability Letters, Elsevier, vol. 180(C).
  46. Harry Joe, 2018. "Dependence Properties of Conditional Distributions of some Copula Models," Methodology and Computing in Applied Probability, Springer, vol. 20(3), pages 975-1001, September.
  47. Krupskii, Pavel & Joe, Harry, 2015. "Structured factor copula models: Theory, inference and computation," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 53-73.
  48. Jaap Spreeuw, 2022. "The Copula Derived from the SAHARA Utility Function," Risks, MDPI, vol. 10(7), pages 1-10, June.
  49. Paramahansa Pramanik, 2024. "Dependence on Tail Copula," J, MDPI, vol. 7(2), pages 1-26, April.
  50. Hua, Lei, 2017. "On a bivariate copula with both upper and lower full-range tail dependence," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 94-104.
  51. Hua, Lei, 2015. "Tail negative dependence and its applications for aggregate loss modeling," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 135-145.
  52. Fung, Thomas & Seneta, Eugene, 2016. "Tail asymptotics for the bivariate skew normal," Journal of Multivariate Analysis, Elsevier, vol. 144(C), pages 129-138.
  53. Elena Di Bernardino & Didier Rullière, 2016. "On tail dependence coefficients of transformed multivariate Archimedean copulas," Post-Print hal-00992707, HAL.
  54. Li, Xiaoting & Joe, Harry, 2024. "Multivariate directional tail-weighted dependence measures," Journal of Multivariate Analysis, Elsevier, vol. 203(C).
  55. Bernard, Carole & Czado, Claudia, 2015. "Conditional quantiles and tail dependence," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 104-126.
  56. Hua, Lei & Joe, Harry, 2012. "Tail comonotonicity: Properties, constructions, and asymptotic additivity of risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 492-503.
  57. Koliai, Lyes, 2016. "Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 1-22.
  58. Ji, Liuyan & Tan, Ken Seng & Yang, Fan, 2021. "Tail dependence and heavy tailedness in extreme risks," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 282-293.
  59. Krupskii, Pavel & Joe, Harry, 2020. "Flexible copula models with dynamic dependence and application to financial data," Econometrics and Statistics, Elsevier, vol. 16(C), pages 148-167.
  60. J. Rosco & Harry Joe, 2013. "Measures of tail asymmetry for bivariate copulas," Statistical Papers, Springer, vol. 54(3), pages 709-726, August.
  61. Edward Furman & Jianxi Su & Riv{c}ardas Zitikis, 2014. "Paths and indices of maximal tail dependence," Papers 1405.1326, arXiv.org, revised Jul 2016.
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