Fougères, Anne-Laure; Mercadier, Cécile; Nolan, John P. - In: Journal of Multivariate Analysis 116 (2013) C, pp. 109-129
In this paper, we explore tail dependence modeling in multivariate extreme value distributions. The measure of dependence chosen is the scale function, which allows combinations of distributions in a very flexible way. The correspondences between the scale function and the spectral measure or...
