Measuring non-exchangeable tail dependence using tail copulas
Takaaki Koike, Shogo Kato and Marius Hofert
| Year of publication: |
2023
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|---|---|
| Authors: | Koike, Takaaki ; Kato, Shogo ; Hofert, Marius |
| Published in: |
ASTIN bulletin : the journal of the International Actuarial Association. - Cambridge : Cambridge Univ. Press, ISSN 1783-1350, ZDB-ID 2148228-7. - Vol. 53.2023, 2, p. 466-487
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| Subject: | Copula | tail copula | tail dependence | tail dependence coefficient | tail dependence function | tail non-exchangeability | Multivariate Verteilung | Multivariate distribution | Statistische Verteilung | Statistical distribution | Ausreißer | Outliers | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/asb.2023.4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014320337