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Multivariate conditional versions of Spearman's rho and related measures of tail dependence

JOURNAL ARTICLE published July 2007 in Journal of Multivariate Analysis

Authors: Friedrich Schmid | Rafael Schmidt

https://doi.org/10.1016/j.jmva.2006.05.005 Actions

Nonparametric inference on multivariate versions of Blomqvist’s beta and related measures of tail dependence

JOURNAL ARTICLE published 24 August 2007 in Metrika

Authors: Friedrich Schmid | Rafael Schmidt

https://doi.org/10.1007/s00184-006-0114-3 Actions

Multivariate extensions of Spearman's rho and related statistics

JOURNAL ARTICLE published February 2007 in Statistics & Probability Letters

Authors: Friedrich Schmid | Rafael Schmidt

https://doi.org/10.1016/j.spl.2006.08.007 Actions

Multivariate directional tail-weighted dependence measures

JOURNAL ARTICLE published April 2024 in Journal of Multivariate Analysis

Research funded by NSERC (GR010293)

Authors: Xiaoting Li | Harry Joe

https://doi.org/10.1016/j.jmva.2024.105319 Actions

Strength of tail dependence based on conditional tail expectation

JOURNAL ARTICLE published January 2014 in Journal of Multivariate Analysis

Authors: Lei Hua | Harry Joe

https://doi.org/10.1016/j.jmva.2013.09.001 Actions

Conditional quantiles and tail dependence

JOURNAL ARTICLE published June 2015 in Journal of Multivariate Analysis

Research funded by NSERC (328250) | Alexander von Humboldt Research Foundation (1147294)

Authors: Carole Bernard | Claudia Czado

https://doi.org/10.1016/j.jmva.2015.01.011 Actions

Robust nonparametric estimation of the conditional tail dependence coefficient

JOURNAL ARTICLE published July 2020 in Journal of Multivariate Analysis

Authors: Yuri Goegebeur | Armelle Guillou | Nguyen Khanh Le Ho | Jing Qin

https://doi.org/10.1016/j.jmva.2020.104607 Actions

Tail order and intermediate tail dependence of multivariate copulas

JOURNAL ARTICLE published November 2011 in Journal of Multivariate Analysis

Authors: Lei Hua | Harry Joe

https://doi.org/10.1016/j.jmva.2011.05.011 Actions

Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients

JOURNAL ARTICLE published July 2019 in Journal of Multivariate Analysis

Research funded by NSERC, Canada (8698)

Authors: Pavel Krupskii | Harry Joe

https://doi.org/10.1016/j.jmva.2019.02.013 Actions

Conditional limiting distribution of Type III elliptical random vectors

JOURNAL ARTICLE published February 2007 in Journal of Multivariate Analysis

Authors: Enkelejd Hashorva

https://doi.org/10.1016/j.jmva.2005.10.003 Actions

On convergence and singularity of conditional copulas of multivariate Archimedean copulas, and conditional dependence

JOURNAL ARTICLE published May 2024 in Journal of Multivariate Analysis

Authors: Thimo M. Kasper

https://doi.org/10.1016/j.jmva.2023.105275 Actions

Dependence properties and bounds for ruin probabilities in multivariate compound risk models

JOURNAL ARTICLE published April 2007 in Journal of Multivariate Analysis

Authors: Jun Cai | Haijun Li

https://doi.org/10.1016/j.jmva.2006.06.004 Actions

Multivariate Tail Moments for Log-Elliptical Dependence Structures as Measures of Risks

JOURNAL ARTICLE published 28 March 2021 in Symmetry

Research funded by Israel Science Foundation (1686/17)

Authors: Zinoviy Landsman | Tomer Shushi

https://doi.org/10.3390/sym13040559 Actions

Orthant tail dependence of multivariate extreme value distributions

JOURNAL ARTICLE published January 2009 in Journal of Multivariate Analysis

Authors: Haijun Li

https://doi.org/10.1016/j.jmva.2008.04.007 Actions

Multivariate tail dependence and local stochastic dominance

JOURNAL ARTICLE published May 2024 in Journal of Multivariate Analysis

Authors: Karl Friedrich Siburg | Christopher Strothmann

https://doi.org/10.1016/j.jmva.2023.105267 Actions

Copula-based conditional tail indices

JOURNAL ARTICLE published May 2024 in Journal of Multivariate Analysis

Research funded by Natural Sciences and Engineering Research Council of Canada (GR009581,GR010293)

Authors: Vincenzo Coia | Harry Joe | Natalia Nolde

https://doi.org/10.1016/j.jmva.2023.105268 Actions

On rank correlation measures for non-continuous random variables

JOURNAL ARTICLE published March 2007 in Journal of Multivariate Analysis

Authors: Johanna Nešlehová

https://doi.org/10.1016/j.jmva.2005.11.007 Actions

On moments of doubly truncated multivariate normal mean–variance mixture distributions with application to multivariate tail conditional expectation

JOURNAL ARTICLE published May 2020 in Journal of Multivariate Analysis

Authors: Roohollah Roozegar | Narayanaswamy Balakrishnan | Ahad Jamalizadeh

https://doi.org/10.1016/j.jmva.2019.104586 Actions

Nonparametric estimation of the conditional tail copula

JOURNAL ARTICLE published May 2015 in Journal of Multivariate Analysis

Authors: Laurent Gardes | Stéphane Girard

https://doi.org/10.1016/j.jmva.2015.01.018 Actions

Analysis of repeated measures under unequal variances

JOURNAL ARTICLE published March 2007 in Journal of Multivariate Analysis

Authors: Yu-Yun Ho | Sam Weerahandi

https://doi.org/10.1016/j.jmva.2006.01.002 Actions
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